Seasonality Map for April, 2010


Below is a map of expected strong/weak days for the U.S. market for April, 2010 based on historical seasonality patterns. This is the first of what I plan to be a monthly feature at MarketSci.

Read more after the image.


One of the unexpected side effects of keeping this blog is I’ve become a bit of a proponent of stock market seasonality (i.e. bullish/bearish biases around certain times of the month, year, etc.) This monthly seasonality map will force me to tie my seasonality studies together, and eventually I intend to use it as one of the many factors I’m considering in my own trading.

I want to make clear that 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 powerful enough and consistent enough that I do think they should be one of many tools in the trader’s toolbox.

This is a work in progress and I intend to add additional plays as I flesh out my own thoughts. The studies included at the moment include: (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, and (e) individual holidays.

Of course, not all seasonality plays are created equal; 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 (ex. -25%/+25%) indicate the play has been very inconsistent over time and needs to be digested with a very large grain of salt.

This is a first pass at what will be a constantly evolving work. Reader input is always appreciated.

Happy Trading,

. . . . .

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6 Responses to “Seasonality Map for April, 2010”

  1. 1 toptick

    Hi, I don’t recall you mentioning “monthly w” before.
    Just guessing from inspection of the map, it’s a weak-strong-weak-strong pattern. Can you point to any research on this?


  2. 3 WTP


    Fantastic work; this is very easily applied. Seems like it begs for the next step of overlaying the seasonality onto your “state” report.

    Question: How are you blending the “strength” of the tendency (weighted average return perhaps) with the stability/volatility of the seasonality factor?

    I look forward to seeing this evolve.


    • 4 MarketSci

      RE to WTP: you read my mind. The SOTM report will start including this single seasonality value each day. I’m creating the “strength” rating w/ a mix of (a) excess return relative to volatility, and (b) consistency over time more heavily weighted towards more recent data. It’s imperfect at the moment, but it’s a step in the right direction. Some combinations like the day after good friday (a negative) and the turn of the month (a positive) are too rare of occurences to really generate any useful rating (hence the reason for the question mark).


  3. Michael –
    You’ve turned over all the boulders looking for the best approach to aggressive / very profitable trading – and programs like YK show the results. With that enormous cranial library of tests and data behavior, it would seem you could design a low-metabolism system that would consistently chug out 10-15% – something for those allergic to losses and praying to survive impending inflation. Ten thousand retire every day; every one of them is looking. Any chance?

  1. 1 Nightly Recap 3-29-2010 «

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