Discussion in 'Commodity Futures' started by Sprout, Aug 5, 2022 at 1:50 PM.
Anyone have experience with seasonal tendency data?
Yes, we are familiar with seasonal tendencies. A few of us in the office are very familiar with seasonal research and specifically the information from MRCI. Happy to help.
Seems like it would be very easy to backtest and test in real time. If their data and methods are too subjective to test, than I wouldn't bother. I heard about them a long time ago. Sounded interesting but didn't look further. If they really had an edge, though, why not open their own fund and keep their seasonal secret sauce to themselves?
Edit: now that I think about it, backtesting probably isn't the best idea. The whole idea is these are "tendencies" that worked in the past. They could continually update their strategies to perform better on backtests. They've been around long enough for others to have forward tested their ideas, though. I wonder if anyone has?
I’m sure you’ve shared your seasonal secret sauce all over the globe.
Quite the stalker, aren't you? Maybe a really long line at the welfare office today?
It is as joke, because it does not work out-of-sample. I have it backtested all and then going walk-forward. You can forget this. There is no such fine seasonal strategy as I know at all. Maybe the intras have some predictive value. But I do not think so. It can stop working suddenly after several years. So if you do not the research why it is working and stop to work from a fundamental perspective you would probably go nowhere from here.
Check out the agtrade ideas thread. SeasonAlgo is another popular service which is more advanced.
That's what I expected.
I definitively factor in seasonal influences with my trading - using price action to confirm before entering. I consider this a bit of an edge with swing & day trades.
Info alone is not an edge without the right mindset , good risk trade mgmt, & identifying potential trades with asymmetrical reward-to-risk.
This is one examples, there are many more for those that are willing to learn:
The S&P 500 with dividends from 1960 onward returned on average 1.92% for the six-month periods May through October, the “bad-period.” For the other six months, the “good-period,” from November through April, the average return was 8.47%.
Yes, that it is. Some half a year seasonality, some turn-of-month and some turnaround tuesday. End of story here. If you go beyond that and analyze, backtest intraday seasonalities you can easily get sharpe ratios of 12 or at least over 10. But it does not work out-of-sample. I checked it with several asset classes too. So you can get something around Sharpe 2 and with much fewer trades something around sharpe 3 on seasonality only but not better. That means it really takes many years to build up from here. It is better to look elsewhere in my opinion. The overnight edge in stock index market is really overvalued in my eyes. That edge is not that large.
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