May
31
An Interesting Holideasonal, from Victor Niederhoffer
May 31, 2011 |
An interesting holideasonal is that there have been 13 big up opens on holidays since 1999, the last being July 6th, 2010, and 11 of these 13 were up a further nice amount, averaging 1.2 % by the close of the subsequent day. (the gig on average was up at that time in retrospect).
Sam Marx writes:
I have become interested in quantitative studies similar to holiday studies just mentioned, determining best trading days of the month,( last I heard it was last 2 days & first 3 days of the month ), predicting next day's move, repetitive run patterns, etc. etc.
I'm interested in finding any websites, articles, books, etc. that discuss these topics.
I remember Fosback and Merrill did some work on this type of trading many years ago (late '70s ) but I was mainly involved with options then, still am.
Back then I started a study of gap trading but did not follow through as making money trading options profitably on the exchange floor was just too easy and data were more difficult to obtain then (no internet). I could trade options profitably then without knowing anything about the underlying stock.
The Stock Market Almanac has some of these studies that I'm exploring , and their Table of Contents is my starting point. However , I've already found 2 of their studies that I believe are in error. However their 6-6 month strategy is interesting although I believe the so-called "Good" period is now starting earlier than Nov.1. The last "Good" period started on Sept. 1.
I've expanded my trading to include value stocks along with options, but I'd like to enlarge my trading to include more quantitative trading.
I welcome suggestions.
Victor Niederhoffer adds:
One is reminded of Beethoven's remark to Rossini when the latter came to pay a courtesy call to b, while Rossini was the greatest star in Europe and B was on the wane. "Stick to comic opera," B told him. The seasonals on a perspective basis are most non-predictive. But they look great in retrospect.
Comments
Archives
- May 2013
- April 2013
- March 2013
- February 2013
- January 2013
- December 2012
- November 2012
- October 2012
- September 2012
- August 2012
- July 2012
- June 2012
- May 2012
- April 2012
- March 2012
- February 2012
- January 2012
- December 2011
- November 2011
- October 2011
- September 2011
- August 2011
- July 2011
- June 2011
- May 2011
- April 2011
- March 2011
- February 2011
- January 2011
- December 2010
- November 2010
- October 2010
- September 2010
- August 2010
- July 2010
- June 2010
- May 2010
- April 2010
- March 2010
- February 2010
- January 2010
- December 2009
- November 2009
- October 2009
- September 2009
- August 2009
- July 2009
- June 2009
- May 2009
- April 2009
- March 2009
- February 2009
- January 2009
- December 2008
- November 2008
- October 2008
- September 2008
- August 2008
- July 2008
- June 2008
- May 2008
- April 2008
- March 2008
- February 2008
- January 2008
- December 2007
- November 2007
- October 2007
- September 2007
- August 2007
- July 2007
- June 2007
- May 2007
- April 2007
- March 2007
- February 2007
- January 2007
- December 2006
- November 2006
- October 2006
- September 2006
- August 2006
- Older Archives
Resources & Links
- The Letters Prize
- Pre-2007 Victor Niederhoffer Posts
- Vic’s NYC Junto
- Reading List
- Programming in 60 Seconds
- The Objectivist Center
- Foundation for Economic Education
- Tigerchess
- Dick Sears' G.T. Index
- Pre-2007 Daily Speculations
- Laurel & Vics' Worldly Investor Articles
