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Thread: Seasonalities

  1. #11
    Administrator Jim's Avatar
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    Apr 2010
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    South West England
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    Thanks for all these test results Pete,

    More from me when things have quietened down a bit at this end. Amongst other things I currently find myself embroiled on LinkedIn once again, in what is proving to be an actually rather interesting conversation for a change.

    In the meantime, Ray Snr. and Jnr. are both too dumb to do this, but when daytrading I prefer to avoid rather than seek out anticipated volatility. US Non Farm Payroll is the obvious example. Usually the numbers are released on the first Friday in every month, but unfortunately not always! Other significant news events are also worth avoiding (or alternatively seeking out if you're into that sort of thing!). Options/Futures used to generally expire/rollover once a quarter, but all sorts of new fangled contracts have changed the landscape somewhat. This should give you some idea of the complexities. In brief though, triple witching (see above) is another good day for Ray et. al. to go to the virtual beach instead of trading (IMHO!) since all sorts of folks with deep pockets are playing a variety of games whilst endeavouring to ensure that the contracts they are holding deliver a profit rather than a loss as they expire.
    Reality is merely an illusion, albeit a very persistent one - Albert Einstein

  2. #12
    Junior Member Frank's Avatar
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    Sep 2013
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    Germany
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    15
    Hi, I am back too. Sry have been busy with some operational stuff and can now devote my time to new ideas.

    Fantastic work Pete, very impressive! Actually the Euro is the one contract where I found the least "quirks" in my research. The 13 trading day of month (not DOM) seems to have a strong bullish bias. Also Thursdays in October and June seem to work well (however these are only a few trades and come very close to "picking winners...")
    Combine this entry with a funny exit method like "sell on the first open that is higher than the entry price", plug a stop on it for arond USD 1.400 per contract (125.000 USD) and voila:

    https://www.dropbox.com/s/j599bqk4hk...2014.26.36.png

    I am sure I am missing something here but hey...looks nice

    One question still remains: How can we figure out if we are fooling ourselves or if these are a significant little quirks worth exploiting?
    You can do all the standard stuff like confidence intervals, null hypothesis testing etc but you will get nice results because we searched" for good data in the first place.
    Normally I would say: Hey test the idea on other symbols and maybe other time frames to see if they hold up but this of course wouldn't make sense in this specific seasonality case...
    I am still continuing my forward tests (cost me 5 minutes a day). They had a great start for around 1,5k run up in the first week and then two full stops on the EC and SF for a total loss of around 2k at the moment. Lets see how it continues
    Looking forward to your comments!
    Best Frank

  3. #13
    Senior Member
    Join Date
    Dec 2011
    Location
    London, UK
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    139
    Thanks for the feedback Jim.

    Quote Originally Posted by Jim View Post
    when daytrading I prefer to avoid rather than seek out anticipated volatility. US Non Farm Payroll is the obvious example.
    Sounds like a good plan. For a bit of lunchtime amusement, I've just been watching the EURUSD during some news releases!!

    newsday.jpg

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