In trading stocks (and stock index futures) I'm finding most useful to put things in a proper framework, so I can compare apples with apples.

I'm working for a few months with a seasonality framework for the daily changes, within a month.

Taking the last month's close as the "Equator Line", I would divide the month in 3, having, thus:

1: The first third of the month, while above last month's close (LMC);

2: The second third, above LMC;

3: The third and final period of the month, above LMC;
-1: The first third, but below LMC;
-2: The second third, below LMC;
-3: The end of month (3rd third), also below LMC.

What I found is that a daily change of - % or + % has different significance in each of this "seasonality sectors".

One two-day strategy I was researching showed profits only at the -3 (end of month below last month's close).

Some strategies show profits only in sector 1, or 2, etc.

The rationale behind it would be the mutual fund industry, which have to release a monthly report, therefore having the incentive to buy in the end of a bad month, to give a least horrible report, etc.

But I could be lulling myself into error, so I would like the Specs contribution.





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