If you bought Bovespa on Thursday and sold on Friday every week since 2003, you would be rich (if you compounded). We know this. If one was to follow such a strategy, in real-time, would it make money?
In the following strategy an investor would buy at the Close of the "optimal" day that performed best in the 5 past years. She would buy on this day (sell on the next close) for 6 months. At the end of 6 months she would re-optimize, find the "optimal" day of the past 5 years from the current date and follow it for another 6 months. So here is a walk-forward back-test that shows how she would do.
Results are NOT compounded (hence the huge difference).
Initial Capital: $100,000 - Profit: $
127,438.7
Begin | End | No. | Net Profit | Net % Profit | day of week | Profit $$ |
| 34820 | 34826 | 1 | 3809.68 | 3.81 | 1 |
|
| 34826 | 35186 | 1 | 9849.84 | 9.85 | 4 | 13659.52 |
| 35186 | 35192 | 1 | 15842.02 | 15.84 | 4 | 29501.54 |
| 35192 | 35551 | 1 | 6754.01 | 6.75 | 4 | 36255.55 |
| 35551 | 35557 | 1 | 12394.78 | 12.39 | 4 | 48650.33 |
| 35557 | 35916 | 1 | -19902.37 | -19.9 | 4 | 28747.96 |
| 35916 | 35922 | 1 | 10016.43 | 10.02 | 1 | 38764.39 |
| 35922 | 36281 | 1 | 22435.88 | 22.44 | 1 | 61200.27 |
| 36281 | 36287 | 1 | -16342.55 | -16.34 | 1 | 44857.72 |
| 36287 | 36647 | 1 | 15916.31 | 15.92 | 4 | 60774.03 |
| 36647 | 36653 | 1 | 4610.77 | 4.61 | 4 | 65384.8 |
| 36653 | 37012 | 1 | 7781.22 | 7.78 | 4 | 73166.02 |
| 37012 | 37018 | 1 | -10523.76 | -10.52 | 4 | 62642.26 |
| 37018 | 37377 | 1 | -12518.35 | -12.52 | 1 | 50123.91 |
| 37377 | 37383 | 1 | -3076.38 | -3.08 | 4 | 47047.53 |
| 37383 | 37742 | 1 | 4480.75 | 4.48 | 4 | 51528.28 |
| 37742 | 37748 | 1 | 9594.63 | 9.59 | 4 | 61122.91 |
| 37748 | 38108 | 1 | 3838.22 | 3.84 | 4 | 64961.13 |
| 38108 | 38114 | 1 | 21109.48 | 21.11 | 4 | 86070.61 |
| 38114 | 38473 | 1 | 8833.46 | 8.83 | 4 | 94904.07 |
| 38473 | 38479 | 1 | 3687.74 | 3.69 | 4 | 98591.81 |
| 38479 | 38838 | 1 | 8690.9 | 8.69 | 4 | 107282.71 |
| 38838 | 38844 | 1 | 8881.05 | 8.88 | 4 | 116163.76 |
| 38844 | 39203 | 1 | -4282.91 | -4.28 | 4 | 111880.85 |
| 39203 | 39209 | 1 | 12311.72 | 12.31 | 4 | 124192.57 |
| 39209 | 39569 | 1 | -767.54 | -0.77 | 4 | 123425.03 |
| 39569 | 39575 | 1 | -2413.08 | -2.41 | 4 | 121011.95 |
| 39575 | 39934 | 1 | -9401.48 | -9.4 | 4 | 111610.47 |
| 39934 | 39940 | 1 | 14681.36 | 14.68 | 4 | 126291.83 |
| 39940 | 40299 | 1 | 3449.71 | 3.45 | 4 | 129741.54 |
| 40299 | 40305 | 1 | -3704.01 | -3.7 | 4 | 126037.53 |
| 40305 | 40664 | 1 | 1401.17 | 1.4 | 4 | 127438.7 |
