Seasonal Strategies

Yale Hirsch has been publishing Stock Trader’s Almanac since 1966. From 2000, Hirsch’s company is also publishing Commodity Trader’s Almanac’s, which covers 13 commodities markets. For many years he studied the stock and commodity markets’ history, cycles and patterns and identified various seasonal trends and tendencies. He then combined these trends with calendar and developed many “statistically predictable” trading strategies.

We at Market Remarks have taken some of these seasonal trading strategies and back tested them – maintaining the original strategy for some of these ideas and modifying others. These pages provide the results of back-testing these ideas. It is possible that some of our tweaking may have led to curve-fitting, but since this is a on-going project we will continue to improve these strategies and try to eliminate curve-fitting. So far we have tested following seasonal trend ideas:

  1. January Mid-Month Break (short S&P500)
  2. Martin Luther King Holiday
  3. January Expiration Week
  4. 3rd Friday of January
  5. End of January-Beginning of February
  6. Long Crude Oil In February
  7. President’s Day
  8. End of February beginning of March
  9. Long British Pound vs. US Dollar in March
  10. Last week of March
  11. April Expiration Week
  12. Long 30-Yr Bond in April
  13. Long S&P 500 in late April
  14. End of April beginning of May
  15. Short Live Cattle in May
  16. Mother’s Day
  17. Short Coffee in May
  18. June – Birtish Pound Long Opportunity
  19. Triple Witching Day In September
  20. Octoberfest on Monday Before Expiration Friday
  21. Happy Monday For Dow After October Expiration
  22. Santa Claus Rally at the Year End

The Fine Print: Before employing any of these strategies in your live account please understand the rationale behind the seasonality pattern. Then run some back tests for the trade start-date and holding periods. Make sure that the risk level, max draw down, win ratio and average loss falls within your comfort zone and that you can withstand the draw down and the associated risk. Also read our disclaimer.

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