Seasonality Map for November, 2010

26Oct10

This is a monthly feature at the MarketSci Blog.

Below is a map of potentially strong/weak days for the US stock market in November 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 48% of the time with winning predictions 1.4x losing ones (solidly outperforming 53%/0.9x for buy & hold).

Side note: the “day of the month” related plays (including the first/last day of the month, turn of the month, and monthly W) have been the most effective, calling 53% of all days correctly with winning predictions 1.3x losing ones. Almost every time we’ve deviated from those it’s turned out badly.

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.

Happy Trading,
ms

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One Response to “Seasonality Map for November, 2010”


  1. 1 Wednesday links: choppy and messy Abnormal Returns

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