May

31

 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.


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