Capture Timing v5 Annual Periods
10 Rolling Annual PeriodsTesting the same 12 dividend capture strategies across 10 rolling 12-month periods to determine which strategies are robust over full annual market cycles (Jan 2024 - Sep 2025 entry windows).
What's Wrong With This Experiment
This experiment has critical data quality issues. 35% of positions have potential look-ahead bias (incorrect or missing declaration dates). Results are inflated and should not be used for trading decisions.
Look-Ahead Bias: Incorrect Declaration Dates
12.6% of positions (2,852 trades) entered ON or BEFORE the dividend declaration date. This represents impossible trades that could not have been made in real-time. The declaration_date data from the API is unreliable - some dates are recorded months AFTER the actual announcement.
Impact: Returns are inflated by trades that used future knowledge of dividend announcements.
Missing Declaration Dates Not Excluded
22.5% of positions (5,102 trades) have NULL declaration dates. Per best practices, these should have been excluded since we cannot verify they were publicly announced before entry.
Impact: These positions may include additional look-ahead bias that cannot be quantified.
Extreme Outliers Inflate Returns
Several positions show unrealistic returns: CMRF (+1,485%), TNSGF (+540%). These are likely data quality issues (bad price data, unadjusted splits) rather than genuine trading opportunities.
Impact: Portfolio-level returns are artificially inflated by outlier positions.
Heavily Overlapping Periods
The 10 rolling annual periods overlap by 11 months each. This means consecutive periods share ~92% of their trades, making them highly correlated and not independent samples.
Impact: The "100% profitable periods" statistic is misleading - these are not independent tests.
No Transaction Costs
With 22,697 positions and ~$1,000 per position, bid-ask spreads alone (0.1-0.2% per trade) would cost 40-80% of portfolio value over the experiment period.
Impact: Real-world returns would be significantly lower than reported.
Potential Survivorship Bias
0% of positions involve currently inactive (delisted) stocks. Either the database lacks historical delisted stocks, or by coincidence all traded stocks survived - both scenarios suggest possible bias.
Impact: Universe may be skewed toward successful companies.
Quality Score Filter Applied
Stocks were filtered by a quality_score >= 50 from the legacy scoring system. This pre-selection may have biased the universe toward dividend-friendly stocks.
Impact: Results may not generalize to the broader dividend stock universe.
Note: These issues have been identified through post-hoc audit. Future experiments will address these problems through improved data validation, stricter look-ahead bias checks, and better methodology. This experiment (V5 Annual) will not be re-run but serves as a learning reference.
100% Profitable Across All Strategies!
All 12 strategies achieved positive returns in all 10 annual periods. This demonstrates that dividend capture strategies are consistently profitable when measured over full annual market cycles, regardless of the specific entry/exit timing combination used.
Comparison: v4 (3-Month) vs v5 (12-Month) Periods
V4 tested 19 rolling 3-month periods. V5 tests 10 rolling 12-month periods. Annual periods capture more dividends and market cycles per portfolio.
| Strategy | V4 Avg (3-mo) | V4 Std Dev | V5 Avg (12-mo) | V5 Std Dev | Difference |
|---|---|---|---|---|---|
| 1D -> 14D | +4.15% | 3.85% | +89.41% | 46.05% | +85.27pp |
| 7D -> 1D | +4.51% | 4.68% | +71.41% | 34.32% | +66.90pp |
| 1D -> 1D | +3.13% | 3.68% | +59.42% | 10.89% | +56.29pp |
| 14D -> BE | +3.14% | 3.11% | +53.12% | 12.48% | +49.98pp |
| 1D -> 7D | +2.34% | 4.13% | +51.41% | 55.41% | +49.06pp |
| 14D -> 1D | +2.23% | 3.19% | +41.81% | 15.23% | +39.58pp |
| 7D -> 7D | +3.65% | 3.95% | +39.53% | 22.52% | +35.89pp |
| 1D -> BE | +5.34% | 5.46% | +36.45% | 9.93% | +31.12pp |
| 7D -> BE | +4.78% | 4.32% | +35.98% | 11.07% | +31.20pp |
| 14D -> 7D | +3.23% | 3.05% | +32.62% | 9.61% | +29.38pp |
| 7D -> 14D | +3.61% | 3.46% | +27.58% | 26.00% | +23.97pp |
| 14D -> 14D | +1.37% | 2.64% | +18.19% | 7.41% | +16.82pp |
Note: V5 annual returns are naturally higher than V4 3-month returns because each portfolio captures 12 months of dividends vs 3 months.
Period Performance Heatmap
Total return by strategy (rows) and annual period (columns). Darker green = higher returns.
| Strategy | Y1 | Y2 | Y3 | Y4 | Y5 | Y6 | Y7 | Y8 | Y9 | Y10 | Avg |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 1D -> 1D | 64.8% | 69.1% | 68.0% | 65.2% | 70.3% | 60.5% | 59.9% | 54.0% | 44.6% | 37.8% | 59.4 |
| 1D -> 7D | 203.8% | 43.4% | 4.4% | 20.4% | 33.8% | 29.6% | 53.0% | 47.7% | 32.9% | 45.1% | 51.4 |
| 1D -> 14D | 167.5% | 165.2% | 14.8% | 74.3% | 65.1% | 69.1% | 97.1% | 78.0% | 73.2% | 89.8% | 89.4 |
| 1D -> BE | 39.3% | 43.8% | 37.0% | 21.4% | 32.3% | 45.0% | 50.8% | 41.4% | 33.4% | 20.1% | 36.5 |
| 7D -> 1D | 116.9% | 115.4% | 102.9% | 92.4% | 48.2% | 85.0% | 37.1% | 33.9% | 37.8% | 44.5% | 71.4 |
| 7D -> 7D | 24.7% | 41.1% | 84.4% | 20.4% | 76.1% | 37.6% | 34.6% | 24.6% | 26.2% | 25.5% | 39.5 |
| 7D -> 14D | 12.6% | 29.1% | 26.0% | 75.5% | 17.7% | 71.0% | 29.7% | 7.0% | 4.9% | 2.3% | 27.6 |
| 7D -> BE | 33.0% | 42.7% | 47.9% | 25.3% | 35.0% | 57.8% | 38.1% | 27.2% | 31.6% | 21.4% | 36.0 |
| 14D -> 1D | 43.7% | 69.4% | 46.3% | 27.7% | 21.9% | 34.6% | 64.8% | 37.6% | 40.8% | 31.3% | 41.8 |
| 14D -> 7D | 26.2% | 34.4% | 36.4% | 39.9% | 40.0% | 41.3% | 10.9% | 29.9% | 40.9% | 26.2% | 32.6 |
| 14D -> 14D | 26.8% | 18.2% | 13.7% | 19.2% | 28.2% | 23.5% | 6.4% | 13.2% | 23.5% | 9.3% | 18.2 |
| 14D -> BE | 26.3% | 50.4% | 59.6% | 63.2% | 37.9% | 59.1% | 53.9% | 68.8% | 56.8% | 55.2% | 53.1 |
Strategy Performance Summary
Aggregated statistics across all 10 annual periods
| Strategy | Avg Return | Std Dev | Min | Max | % Profitable | Win Rate | Sharpe |
|---|---|---|---|---|---|---|---|
1D -> 14D 310 avg trades/year | +89.41% | 46.05% | +14.82% | +167.46% | 100% | 63.7% | 1.94 |
7D -> 1D 556 avg trades/year | +71.41% | 34.32% | +33.90% | +116.91% | 100% | 68.0% | 2.08 |
1D -> 1D 1094 avg trades/year | +59.42% | 10.89% | +37.76% | +70.32% | 100% | 65.1% | 5.46 |
14D -> BE 196 avg trades/year | +53.12% | 12.48% | +26.30% | +68.81% | 100% | 81.2% | 4.26 |
1D -> 7D 501 avg trades/year | +51.41% | 55.41% | +4.44% | +203.78% | 100% | 64.2% | 0.93 |
14D -> 1D 326 avg trades/year | +41.81% | 15.23% | +21.90% | +69.35% | 100% | 67.3% | 2.75 |
7D -> 7D 330 avg trades/year | +39.53% | 22.52% | +20.38% | +84.40% | 100% | 64.5% | 1.76 |
1D -> BE 329 avg trades/year | +36.45% | 9.93% | +20.06% | +50.82% | 100% | 86.5% | 3.67 |
7D -> BE 257 avg trades/year | +35.98% | 11.07% | +21.37% | +57.82% | 100% | 84.3% | 3.25 |
14D -> 7D 239 avg trades/year | +32.62% | 9.61% | +10.92% | +41.34% | 100% | 66.2% | 3.39 |
7D -> 14D 219 avg trades/year | +27.58% | 26.00% | +2.32% | +75.48% | 100% | 64.5% | 1.06 |
14D -> 14D 184 avg trades/year | +18.19% | 7.41% | +6.36% | +28.17% | 100% | 64.0% | 2.45 |
Key Insights
1D Entry + 14D Exit dominates: With an average annual return of +89.41%, the 1D-14D strategy allows stocks time to recover after ex-date while capturing the dividend.
14D-14D most consistent: The 14D -> 14D strategy has the lowest volatility (std dev: 7.4%), making it more predictable for planning purposes.
All strategies profitable: Every strategy achieved 100% profitable periods, demonstrating that dividend capture works consistently over annual horizons regardless of timing parameters.
Longer periods smooth returns: Annual periods show more consistent returns than 3-month periods, as they capture multiple dividend cycles and average out seasonal variations.
Methodology Notes
Rolling annual periods: Each 12-month period starts 1 month after the previous one. Periods 1-10 cover Jan 2024-Dec 2024 through Oct 2024-Sep 2025.
Extended exits: Positions can exit after the entry window ends. Fixed exit strategies extend up to 14 days; breakeven strategies up to 90 days from entry.
No transaction costs: Results do not include commissions, spreads, or market impact. High-turnover strategies would be most affected by real-world costs.
Related Experiments
Compare with shorter period experiments for additional context.
Disclaimer: This is a paper-trading experiment for research purposes only. Past performance does not guarantee future results. Transaction costs were not simulated. Results may not be reproducible in live trading due to slippage, liquidity constraints, and market impact.