I have used day of week as a filter. The problem is day of week statistics don't remain stable, at least in the stock indexes except for the Monday and Friday relationship. The other days of the week have shifted several times between bullish,neutral and bearish over the past 12 years I have been working in this area.
Can you give me some insight on the changing relationships? Why have the Monday and Friday relationships stayed fairly constant while the other days have switched back and forth? I am interested in looking at this as a potential filter for a system... Regards
Mr. Ruggiero Jr., I just finished reading your article in October's issue of "Futures" magazine and I can see why farmers are hardened, bald and basically pissed off. Farmers, as a whole, have to be one of the most well rounded but lied to or misled groups on our planet. I was raised on a farm and was basically an indentured servant for most of my childhood and totally lost sight of the farmers greatness till I became an adult. A farmer must be a horticulturist, technician, geologist, meteorologist, pharmacist, veterinarian, engineer, mechanic, chemist and versed in animal husbandry, just to name a few traits. Over the years, good farmers, have become pretty astute at maximizing the yield in their fields and peaking the quality of their livestock but the one single area they are lacking is the area of Marketing or "how to maximize the profit on their hard work". I know you had no intention of misleading "my people" and absolutely know that you have no malice in your heart but farmers need to be given something other than an article overflowing with contradictions and filled with equations that are useless and confusing to overworked "land technicians & engineers". By the time a farmer has time to work through your caculations the move has, as you say, "disappeared". You begin by saying, " . . . if a seasonal as well regarded as corn can shift, no seasonal is safe . . . ". I take this as saying that there is no consistency in the seasonality of grains. I was intrigued. Then you start touting you (MEM) Maximum Entropy Method, a type of regressive filter for cycle analysis. Cycles? There isn't anything about cycles that are consistent. You even say, "In the classic use of MEM as little data as possible is used to isolate the cycle so they can be traded before they disappear". You then add that, " a 15-day cycle MAY last 45 trading days". THEN you say that, "Markets are composed of multiple cycles of different amplitudes and phases, which make up the the waveform. This is the reason that it is not easy to use cycle analysis for short- and intermediate-term trading". Isn't a 15-day cycle short or intermediate term? My head is starting to ache and I'm familiar with the Ag Markets. You then state late in the article that, "strong cycles only exist for a short time" and then end with, "Research like seasonal composites can help make sure that your trading account balance is not just a fading memory like the old big books of seasonals, which market evolution has turned into door stops". After reading this article I can see farmers using their trading account for therapy or anger management reimbursement. If you need help relating in this environment, schedule a trip to an agricultural area and rub elbows with the people that feed you on a regular basis. You will immediately push to create articles that are based in a simpler method of reading price direction other than totally inconsistent seasonals or cycles. I'm really not trying to agitate you. I know you had the best of intentions when writing this article but farmers as well as other Ag investors need simple consistent techniques to read price direction not contradictions and complex calculations that prove their own inconsistency.
Thank you for your response, I understand that farms have gotten the short end of the stick over the last 10 or more years. It's a hard business and you should be commended for what you do. One point my article did make is I showed how overseas grain has changed the price patterns of the corn market. Many non-farmers don't realize these changes have happened. Over my history I have done articles on almost every topic. Including for example my June 1996 article were I used maps from Alden electronics service for the National Weather service maps and maps from CropCast to predict grain harvests. If you have any ideas for article you would like to see in Futures, private message me and I will consider them. I have 18 credits in Meteorology as well as expertise in the grain fundamentals of both Corn and Soybeans. I have done consulting in this area. In addition in a different column in Futures Magazine June 1995, I predict the greatest bull market of the generation in corn. This was based on my long-range weather research I have done. I understand your point, but this column had many different audiences from Farms to Physicist and I need to address each of them sometimes.
I am talking about in the stock indexes, Monday bullish pattern and Friday is bearish. These are consistent. The other day of week patterns shift, for example 7-8 years ago Wednesday was almost as bullish as Monday but that no longer true.
As far as the pattern shift in the stock indices, how closely does it tie to the direction of the major overall trend of the market? Or, do you think there is some psychological component that comes into play during the middle of the week? It is fairly easy to say that in a 'bull' market the Monday relationship is tied to traders buying new positions after liquidating for weekends as a risk precaution and Friday is the result of weekend liquidation. Regards.
Are there any simple consistent techniques to read price direction in AG markets ? I do not think so, especially TA only based methods. Cycles and predictive methods work best on stock indexes IMO. If there is something like AG index that would be a different story.
I ran day of week tendencies on the SP500 from April 1982 to date and from January 2000 to date. Please look at attachment. You will see that long term Wednesday is bullish but it has been bearish over the past five years.
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Yes there are simple consistent techniques to read price direction. Grab a single price chart and log all the exact price consistencies for the last 10 years and you will see it. (You will never do that you so will never see it and thus say it doesn't exist because it is easier than verifying it does exist.) It's ok though because you are in the majority of traders out there. Cycles and predictive methods don't work ANYWHERE consistently either. Pattern recognition, seasonals and magic wands aren't consistent either.