Seasonality Map for August, 2010
This is a monthly feature at the MarketSci Blog.
Below is a map of potentially strong/weak days for the U.S. stock market in August based on historical seasonality patterns. Read more after the image.
Scorecard: the seasonality map wasn’t just bad in July, it was downright fugly. Our accuracy in calling the closing direction of the S&P 500 correct (since inception in April) has dropped to 48.3% with winning predictions 1.12x losing ones. Compare that to last month’s report when the scorecard stood at 59.1% correct. Ouch.
About the Monthly Seasonality Map
One of the unexpected side effects of keeping this blog is I’ve become 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 is even being used in our own proprietary strategies (read how).
The studies included 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, (f) scheduled Fed meetings, and (g) strong/weak calendar months.
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.
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.
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