Seasonality Map for June, 2010
This is a new monthly feature at the MarketSci Blog.
Below is a map of potentially strong/weak days for the U.S. stock market in June based on historical seasonality patterns. Read more after the image.
Scorecard: since launching in April, the monthly seasonality map has called the closing direction of the S&P 500 correct 58.1% of the time with winning predictions 1.13x losing ones. Too early to get too excited about, but it’s an optimistic start (you only have to be right a bit more than you’re wrong).
About the Monthly Seasonality Map
One of the unexpected side effects of keeping this blog is I’ve become a bit of a proponent of seasonality (i.e. bullish/bearish biases around certain times of the month, year, etc.) This seasonality map forces me to tie my seasonality studies together every month, and eventually I intend to consider it more in my own trading.
To be clear, I do NOT think that seasonality alone is sufficient to justify a trade; however, all of the seasonality plays included in this report have been consistent enough that I do think they should be one of many tools in the trader’s toolbox.
The studies included at the moment are: (a) the turn of the month, (b) the first and last day of the month, (c) the day-after options expiration, (d) the monthly W, (e) individual holidays (in this report, Memorial Day), and (f) scheduled Fed meetings.
Some observations have been stronger than others, so I’ve rated the strength of each from -100% (most bearish) to +100% (most bullish). Very low ratings (+/- 25%) indicate the play has been very inconsistent and needs to be viewed with an extra skeptical eye.
This is a constantly evolving work and reader input is always appreciated.
Happy Trading,
ms
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Filed under: Monthly Seasonality Map | 8 Comments
Greets Mike – Recent chat in Yahoo Group “Poor2Rich” about day-of-week trends provokes the question whether those trends, combined with seasonality (longer term), would produce something tradable. Is your computer warmed up? Grateful for MSci, paul
RE to Paul: hello sir. By day-of-week trends are you referring to recent Monday strength or something like that? Have a link?
Mike – Exactly – Mondays and Wednesdays (I believe) have been recently strong. The Yahoo Group name is “Poor2Rich”; the thread is “days of the week” and it is less than 10 days old. There’s not much there but snap-shots-in-time summaries, not trends. But, I know trends exist, however feeble they may be.
This might work: http://finance.groups.yahoo.com/group/Poor2Rich/
Cheers, paul
Very nice work. Thank you. I’m now subscribed.
Hey Michael,
I didn’t realize you were going to be keeping score, I thought I might have to do it myself. (I shudda known better!)
That’s great, keep up the good work.
=Carlos=