As every trader on the planet knows that markets are moving up more often than down, I wanted to get more precise info. I wrote simple python script that consumes closing price of each month since 1990 July till 2023 July.
Simple summary for Nasdaq index (Us100)
In total 392 months we had 83 months that generated negative return if position was held for a 12 months and 297 positive return for the same hold position time.
% ratio of long positions 78.15789473684211
% ratio of short positions 21.842105263157897
Here is a python code if you want to play around and change some parameters etc.
For full python code visit - https://www.mycompiler.io/view/6DTBdux1AIx
Results
Total months 392 586.340027 position entry 12 + % change 36.24859794878033 620.210022 position entry 13 + % change 33.21616915116537 633.469971 position entry 14 + % change 28.47332521781052 603.77002 position entry 15 + % change 20.118592837716594 578.679993 position entry 16 + % change 16.23695187955115 585.309998 position entry 17 + % change 13.531293377975063 563.599976 position entry 18 + % change 15.55712681577545 580.830017 position entry 19 + % change 13.56507165503466 563.119995 position entry 20 + % change 6.6486721005174125 583.27002 position entry 21 + % change 9.667909041510491 605.169983 position entry 22 + % change 10.276452029511855 652.72998 position entry 23 + % change 19.73709802635386 676.950012 position entry 24 + % change 13.385033369347227 696.340027 position entry 25 + % change 10.932877911382795 670.77002 position entry 26 + % change 5.560780578714603 690.130005 position entry 27 + % change 12.513582132977966 661.419983 position entry 28 + % change 12.509448176137134 700.530029 position entry 29 + % change 16.447550601717325 703.950012 position entry 30 + % change 19.937500334895944 704.700012 position entry 31 + % change 17.577691626319996 742.840027 position entry 32 + % change 24.193638666161963 762.780029 position entry 33 + % change 23.533653501040988 779.26001 position entry 34 + % change 22.340428710052755 754.390015 position entry 35 + % change 13.475792756880537 776.799988 position entry 36 + % change 12.85401358682822 800.469971 position entry 37 + % change 13.008600918522154 792.5 position entry 38 + % change 15.360249842271287 743.460022 position entry 39 + % change 7.17321919429314 733.840027 position entry 40 + % change 9.86864184774156 735.190002 position entry 41 + % change 4.71442387759784 705.960022 position entry 42 + % change 0.2847200885831416 722.159973 position entry 43 + % change 2.4177414496496916 765.619995 position entry 44 + % change 2.975362209551496 764.289978 position entry 45 + % change 0.1975623184215044 777.48999 position entry 46 - % change -0.2276582364745212 750.320007 position entry 47 - % change -0.5424362887873675 751.960022 position entry 48 - % change -3.3033625822198305 755.200012 position entry 49 - % change -5.9944330350460815 793.72998 position entry 50 + % change 0.15496201869557139 817.210022 position entry 51 + % change 9.024607874914192 843.97998 position entry 52 + % change 13.05006701699251 864.580017 position entry 53 + % change 14.96564950101084 933.450012 position entry 54 + % change 24.37088082655679 1001.210022 position entry 55 + % change 27.871280037985873 1020.109985 position entry 56 + % change 24.94730899041244 1043.540039 position entry 57 + % change 26.75987988612289 1036.060059 position entry 58 + % change 24.95705405819528 1059.199951 position entry 59 + % change 29.16162748198617 1052.130005 position entry 60 + % change 28.52974267186687 1059.790039 position entry 61 + % change 28.740601042769377 1100.050049 position entry 62 + % change 27.84601203176711 1101.400024 position entry 63 + % change 25.80261447315894 1190.52002 position entry 64 + % change 29.10829168584666 1243.430054 position entry 65 + % change 30.46814219917512 1185.02002 position entry 66 + % change 21.22917788342512 1080.589966 position entry 67 + % change 7.345981963337982 1141.5 position entry 68 + % change 10.634254489706523 1226.920044 position entry 69 + % change 14.946369642975691 1221.51001 position entry 70 + % change 15.182024664701688 1292.609985 position entry 71 + % change 18.057266825151437 1291.030029 position entry 72 + % change 18.504606293708452 1379.849976 position entry 73 + % change 23.195270686441642 1309 position entry 74 + % change 15.962563101604282 1221.699951 position entry 75 + % change 9.846929018989542 1260.76001 position entry 76 + % change 5.571241905110873 1400.319946 position entry 77 + % change 11.203860406913044 1442.069946 position entry 78 + % change 17.825066440986635 1593.810059 position entry 79 + % change 32.20083159231711 1587.319946 position entry 80 + % change 28.086331752048686 1685.689941 position entry 81 + % change 27.21555642242514 1593.609985 position entry 82 + % change 23.34950072492173 1600.550049 position entry 83 + % change 19.239639784610066 1570.349976 position entry 84 + % change 17.787114418372173 1619.359985 position entry 85 + % change 14.790411719355909 1770.51001 position entry 86 + % change 26.06650103040084 1835.680054 position entry 87 + % change 33.44701064121275 1868.410034 position entry 88 + % change 32.52230575421969 1778.869995 position entry 89 + % change 21.280366191122354 1894.73999 position entry 90 + % change 23.89087929684748 1872.390015 position entry 91 + % change 14.878308139236687 1499.25 position entry 92 - % change -5.874266866766722 1693.839966 position entry 93 + % change 0.4811567304818166 1771.390015 position entry 94 + % change 10.036187880397412 1949.540039 position entry 95 + % change 17.9011450402943 2192.689941 position entry 96 + % change 28.38248825623632 2505.889893 position entry 97 + % change 35.377847625166986 2288.030029 position entry 98 + % change 22.618585090257138 2461.399902 position entry 99 + % change 25.42129978519842 2542.860107 position entry 100 + % change 26.523286560018377 2470.52002 position entry 101 + % change 27.99613115460606 2686.120117 position entry 102 + % change 29.4618294242126 2638.48999 position entry 103 + % change 29.035546009405177 2739.350098 position entry 104 + % change 45.26986524670203 2746.159912 position entry 105 + % change 38.31968930147284 2966.429932 position entry 106 + % change 40.28545910047135 3336.159912 position entry 107 + % change 41.56335156514524 4069.310059 position entry 108 + % change 46.11642000219477 3940.350098 position entry 109 + % change 36.40438461871923 4696.689941 position entry 110 + % change 51.28420104920015 4572.830078 position entry 111 + % change 46.17337928557948 3860.659912 position entry 112 + % change 34.13405570648462 3400.909912 position entry 113 + % change 27.357087252360014 3966.110107 position entry 114 + % change 32.27318343333124 3766.98999 position entry 115 + % change 29.957605488619844 4206.350098 position entry 116 + % change 34.875841663714986 3672.820068 position entry 117 + % change 25.23020836423942 3369.629883 position entry 118 + % change 11.965704394840804 2597.929932 position entry 119 - % change -28.41608508785602 2470.52002 position entry 120 - % change -64.71471698496902 2772.72998 position entry 121 - % change -42.11084838488311 2151.830078 position entry 122 - % change -118.26490804354302 1840.26001 position entry 123 - % change -148.48825998234892 2116.23999 position entry 124 - % change -82.4301558539209 2110.48999 position entry 125 - % change -61.14314344603928 2160.540039 position entry 126 - % change -83.57031276475225 2027.130005 position entry 127 - % change -85.82873228202253 1805.430054 position entry 128 - % change -132.98327668140172 1498.800049 position entry 129 - % change -145.05070375801677 1690.199951 position entry 130 - % change -99.36279615949415 1930.579956 position entry 131 - % change -34.567331641767026 1950.400024 position entry 132 - % change -26.667349753888224 1934.030029 position entry 133 - % change -43.36540479847948 1731.48999 position entry 134 - % change -24.27620664442882 1845.349976 position entry 135 + % change 0.2758265947488762 1688.22998 position entry 136 - % change -25.352589106372815 1615.72998 position entry 137 - % change -30.621453839706554 1463.209961 position entry 138 - % change -47.6575540480482 1328.26001 position entry 139 - % change -52.61545102152101 1314.849976 position entry 140 - % change -37.31072646724526 1172.060059 position entry 141 - % change -27.877410162647653 1329.75 position entry 142 - % change -27.106595299868403 1478.780029 position entry 143 - % change -30.552206422852635 1335.51001 position entry 144 - % change -46.041587812584055 1320.910034 position entry 145 - % change -46.41648403134169 1337.52002 position entry 146 - % change -29.455257798683277 1341.170044 position entry 147 - % change -37.592543485112316 1464.310059 position entry 148 - % change -15.291837928977866 1595.910034 position entry 149 - % change -1.2419212598296172 1622.800049 position entry 150 + % change 9.834242246809294 1735.02002 position entry 151 + % change 23.44411046046604 1810.449951 position entry 152 + % change 27.3744090371709 1786.939941 position entry 153 + % change 34.40965574119428 1932.209961 position entry 154 + % change 31.179839311469117 1960.26001 position entry 155 + % change 24.562046797047092 2003.369995 position entry 156 + % change 33.33682678021741 2066.149902 position entry 157 + % change 36.06901257641664 2029.819946 position entry 158 + % change 34.10646975680079 1994.219971 position entry 159 + % change 32.74713604801223 1920.150024 position entry 160 + % change 23.73980987435595 1986.73999 position entry 161 + % change 19.6719227461667 2047.790039 position entry 162 + % change 20.753592014127385 1887.359985 position entry 163 + % change 8.071590274814485 1838.099976 position entry 164 + % change 1.5042720940658951 1896.839966 position entry 165 + % change 5.793848029876439 1974.98999 position entry 166 + % change 2.166088396225239 2096.810059 position entry 167 + % change 6.5122755594334905 2175.439941 position entry 168 + % change 7.909661984090604 2062.409912 position entry 169 - % change -0.18134076927380643 2051.719971 position entry 170 + % change 1.067398344293833 1999.22998 position entry 171 + % change 0.25059693232491853 1921.650024 position entry 172 + % change 0.07805791800099393 2068.219971 position entry 173 + % change 3.9396187128298434 2056.959961 position entry 174 + % change 0.4457997323167168 2184.830078 position entry 175 + % change 13.61525072340202 2152.090088 position entry 176 + % change 14.590007813836461 2151.689941 position entry 177 + % change 11.844177459953096 2120.300049 position entry 178 + % change 6.853278104131191 2232.820068 position entry 179 + % change 6.091400330427345 2205.320068 position entry 180 + % change 1.3549111275760586 2305.820068 position entry 181 + % change 10.556337824361407 2281.389893 position entry 182 + % change 10.06710526353682 2339.790039 position entry 183 + % change 14.555154664456621 2322.570068 position entry 184 + % change 17.261913839492397 2178.879883 position entry 185 + % change 5.078752292101458 2172.090088 position entry 186 + % change 5.300430568513321 2091.469971 position entry 187 - % change -4.463851180964432 2183.75 position entry 188 + % change 1.4497956267887844 2258.429932 position entry 189 + % change 4.726291902510966 2366.709961 position entry 190 + % change 10.411495961080297 2431.77002 position entry 191 + % change 8.181281550629526 2415.290039 position entry 192 + % change 8.69336467296216 2463.929932 position entry 193 + % change 6.416978906200487 2416.149902 position entry 194 + % change 5.5774688850410605 2421.639893 position entry 195 + % change 3.3799349868903095 2525.090088 position entry 196 + % change 8.020308699576184 2604.52002 position entry 197 + % change 16.3423638033698 2603.22998 position entry 198 + % change 16.561728902645786 2546.27002 position entry 199 + % change 17.861422607489207 2596.360107 position entry 200 + % change 15.891867460433136 2701.5 position entry 201 + % change 16.400890912456042 2859.120117 position entry 202 + % change 17.222436828455916 2660.959961 position entry 203 + % change 8.613054850846742 2652.280029 position entry 204 + % change 8.935330636612807 2389.860107 position entry 205 - % change -3.0993372701208086 2271.47998 position entry 206 - % change -6.368971915834365 2279.100098 position entry 207 - % change -6.254213894557963 2412.800049 position entry 208 - % change -4.653930566958472 2522.659912 position entry 209 - % change -3.2449918282920676 2292.97998 position entry 210 - % change -13.530427771113814 2325.550049 position entry 211 - % change -9.49108668269302 2367.52002 position entry 212 - % change -9.665814230369213 2091.879883 position entry 213 - % change -29.142214232957464 1720.949951 position entry 214 - % change -66.1361572623677 1535.569946 position entry 215 - % change -73.28809852859675 1577.030029 position entry 216 - % change -68.18196104241716 1476.420044 position entry 217 - % change -61.8685764062954 1377.839966 position entry 218 - % change -64.85804128576135 1528.589966 position entry 219 - % change -49.09819825416804 1717.300049 position entry 220 - % change -40.49962034328225 1774.329956 position entry 221 - % change -42.175354897744846 1835.040039 position entry 222 - % change -24.955310580010735 1978.5 position entry 223 - % change -17.541068941117004 2009.060059 position entry 224 - % change -17.842172482311046 2122.419922 position entry 225 + % change 1.4389253834001647 2045.109985 position entry 226 + % change 15.850493928325326 2144.600098 position entry 227 + % change 28.398308503667703 2269.149902 position entry 228 + % change 30.501284749410974 2147.350098 position entry 229 + % change 31.244558333775714 2238.26001 position entry 230 + % change 38.44146972004383 2397.959961 position entry 231 + % change 36.25456676255154 2461.189941 position entry 232 + % change 30.224806286090704 2257.040039 position entry 233 + % change 21.386863974901775 2109.23999 position entry 234 + % change 12.999940845991642 2254.699951 position entry 235 + % change 12.249964829133935 2114.030029 position entry 236 + % change 4.965396354831065 2368.620117 position entry 237 + % change 10.394245714328697 2507.409912 position entry 238 + % change 18.437349425298116 2498.22998 position entry 239 + % change 14.155217287080998 2652.870117 position entry 240 + % change 14.46434231894964 2700.080078 position entry 241 + % change 20.47087360495684 2782.27002 position entry 242 + % change 19.55273952885421 2781.070068 position entry 243 + % change 13.775636630238255 2873.540039 position entry 244 + % change 14.3498991628284 2835.300049 position entry 245 + % change 20.395019927571692 2773.52002 position entry 246 + % change 23.950792682578147 2756.379883 position entry 247 + % change 18.200681810737187 2579.459961 position entry 248 + % change 18.04369670539732 2415.399902 position entry 249 + % change 1.9367304337996187 2684.409912 position entry 250 + % change 6.593627866175157 2620.340088 position entry 251 + % change 4.66008624449972 2605.149902 position entry 252 - % change -1.8317646506008936 2813.840088 position entry 253 + % change 4.0428740241901036 2966.889893 position entry 254 + % change 6.222673562493412 3091.570068 position entry 255 + % change 10.043440490445322 3046.360107 position entry 256 + % change 5.673001941001323 2827.340088 position entry 257 - % change -0.2815353212648263 2935.050049 position entry 258 + % change 5.50348465284382 2939.52002 position entry 259 + % change 6.23027350567253 3066.959961 position entry 260 + % change 15.895218920335946 3116.22998 position entry 261 + % change 22.48967767135081 2977.22998 position entry 262 + % change 9.835319070648348 3010.23999 position entry 263 + % change 12.952452405630293 3019.51001 position entry 264 + % change 13.72275987255296 3142.129883 position entry 265 + % change 10.448002063064308 3160.189941 position entry 266 + % change 6.116722463170452 3267.52002 position entry 267 + % change 5.384816341538435 3328.790039 position entry 268 + % change 8.484462182686794 3455.909912 position entry 269 + % change 18.18825837494806 3403.25 position entry 270 + % change 13.757436303533389 3626.370117 position entry 271 + % change 18.94043009510052 3589.870117 position entry 272 + % change 14.566269501610494 3771.47998 position entry 273 + % change 17.373816206761358 3919.709961 position entry 274 + % change 24.044635709718523 4059.889893 position entry 275 + % change 25.8541470498939 4176.589844 position entry 276 + % change 27.7039373560283 4103.879883 position entry 277 + % change 23.43514009715473 4308.120117 position entry 278 + % change 26.64573282138132 4198.990234 position entry 279 + % change 22.183195532528593 4114.560059 position entry 280 + % change 19.0973034475762 4242.620117 position entry 281 + % change 18.543027263923197 4408.180176 position entry 282 + % change 22.796939686614117 4369.77002 position entry 283 + % change 17.012334736096708 4580.27002 position entry 284 + % change 21.623177207355997 4493.390137 position entry 285 + % change 16.06604668167055 4630.740234 position entry 286 + % change 15.354570480534536 4791.629883 position entry 287 + % change 15.271212674336676 4736.049805 position entry 288 + % change 11.812797247388735 4635.240234 position entry 289 + % change 11.46349108515268 4963.529785 position entry 290 + % change 13.204507606273976 4900.879883 position entry 291 + % change 14.321706831352671 4941.419922 position entry 292 + % change 16.73324421020537 5070.029785 position entry 293 + % change 16.31962144380182 4986.870117 position entry 294 + % change 11.604271365064719 5128.279785 position entry 295 + % change 14.790725093014789 4776.509766 position entry 296 + % change 4.108433890303496 4620.160156 position entry 297 + % change 2.7438446876212486 5053.75 position entry 298 + % change 8.370215503339107 5108.669922 position entry 299 + % change 6.205921381506715 5007.410156 position entry 300 + % change 5.419175632634162 4613.950195 position entry 301 - % change -0.46142758591262867 4557.950195 position entry 302 - % change -8.898289201249145 4869.850098 position entry 303 - % change -0.6371815225430317 4775.359863 position entry 304 - % change -3.4774354973046426 4948.049805 position entry 305 - % change -2.4652132619348217 4842.669922 position entry 306 - % change -2.9777002629253397 5162.129883 position entry 307 + % change 0.6557389830789714 5213.220215 position entry 308 + % change 8.37698065666693 5312 position entry 309 + % change 13.024093448795181 5189.140137 position entry 310 + % change 2.609105428366278 5323.680176 position entry 311 + % change 4.038752270831377 5383.120117 position entry 312 + % change 6.979408834172229 5614.790039 position entry 313 + % change 17.825062683523793 5825.439941 position entry 314 + % change 21.757837327946444 5911.740234 position entry 315 + % change 17.62408520604155 6047.609863 position entry 316 + % change 21.037236674008646 6198.52002 position entry 317 + % change 20.17369002544579 6140.419922 position entry 318 + % change 21.134548068128034 6348.120117 position entry 319 + % change 18.68254242423625 6428.660156 position entry 320 + % change 18.90658257717364 6495.959961 position entry 321 + % change 18.22609696039042 6727.669922 position entry 322 + % change 22.868687121062354 6873.970215 position entry 323 + % change 22.553051446412187 6903.390137 position entry 324 + % change 22.02207886023753 7411.47998 position entry 325 + % change 24.24198602503679 7273.009766 position entry 326 + % change 19.903311992885346 7063.450195 position entry 327 + % change 16.305203961305775 7066.27002 position entry 328 + % change 14.415811370310475 7442.120117 position entry 329 + % change 16.710293269242598 7510.299805 position entry 330 + % change 18.240015958990064 7671.790039 position entry 331 + % change 17.253729771944297 8109.540039 position entry 332 + % change 20.727191368639847 8046.350098 position entry 333 + % change 19.268241104564478 7305.899902 position entry 334 + % change 7.914562035564007 7330.540039 position entry 335 + % change 6.228324537768753 6635.279785 position entry 336 - % change -4.040678926698803 7281.740234 position entry 337 - % change -1.7817134617658787 7532.529785 position entry 338 + % change 3.445323502295313 7729.319824 position entry 339 + % change 8.614854141918604 8095.390137 position entry 340 + % change 12.71242150883383 7453.149902 position entry 341 + % change 0.14798823510902356 8006.240234 position entry 342 + % change 6.194423530958967 8175.419922 position entry 343 + % change 6.160293756223274 7962.879883 position entry 344 - % change -1.8417979192817724 7999.339844 position entry 345 - % change -0.5876766697849499 8292.360352 position entry 346 + % change 11.896015225171436 8665.469727 position entry 347 + % change 15.405162444230868 8972.599609 position entry 348 + % change 26.049527738377442 9150.94043 position entry 349 + % change 20.426318041281366 8567.370117 position entry 350 + % change 12.07885638028635 7700.100098 position entry 351 - % change -0.37947202800116464 8889.549805 position entry 352 + % change 8.93363202209991 9489.870117 position entry 353 + % change 21.462045211255866 10058.76953 position entry 354 + % change 20.405371550450464 10745.26953 position entry 355 + % change 23.916101879298317 11775.45996 position entry 356 + % change 32.37733464298579 11167.50977 position entry 357 + % change 28.3695290288517 10911.58984 position entry 358 + % change 24.004105051661295 12198.74023 position entry 359 + % change 28.96422447221831 12888.28027 position entry 360 + % change 30.381715628224764 13070.69043 position entry 361 + % change 29.988851935497944 13192.34961 position entry 362 + % change 35.058042196624285 13246.87012 position entry 363 + % change 41.87230622594796 13962.67969 position entry 364 + % change 36.33349756374738 13748.74023 position entry 365 + % change 30.97643887188346 14503.9502 position entry 366 + % change 30.648069034324184 14672.67969 position entry 367 + % change 26.766822713895156 15259.24023 position entry 368 + % change 22.830627328029156 14448.58008 position entry 369 + % change 22.70860037341468 15498.38965 position entry 370 + % change 29.595331602725572 15537.69043 position entry 371 + % change 21.489359792837632 15644.96973 position entry 372 + % change 17.620292704778542 14239.87988 position entry 373 + % change 8.210669330449436 13751.40039 position entry 374 + % change 4.0654098066008055 14220.51953 position entry 375 + % change 6.846792115758939 12334.63965 position entry 376 - % change -13.198926650443346 12081.38965 position entry 377 - % change -13.80098339928967 11028.74023 position entry 378 - % change -31.510488936414095 12390.69043 position entry 379 - % change -18.416966131886486 11816.2002 position entry 380 - % change -29.13830141435823 10575.62012 position entry 381 - % change -36.62158734952746 10988.15039 position entry 382 - % change -41.046391794060604 11468 position entry 383 - % change -35.48735987094525 10466.48047 position entry 384 - % change -49.47689220691777 11584.54981 position entry 385 - % change -22.921305648907214 11455.54004 position entry 386 - % change -20.041485097895052 12221.91016 position entry 387 - % change -16.35267600428835 12226.58008 position entry 388 - % change -0.8838086308105172 12935.29004 position entry 389 + % change 6.601323877234072 13787.91992 position entry 390 + % change 20.01157321778237 14032.80957 position entry 391 + % change 11.701998319072173 Total months in minus 83 Total months in plus 297
% ratio of long positions 78.15789473684211 % ratio of short positions 21.842105263157897
.jpg)
Comments
Post a Comment