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Strategies & Market Trends : Neural Nets - A tool for the 90's
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To: Optim who wrote (671)10/6/1999 8:06:00 PM
From: Optim  Read Replies (1) of 871
 
Some thoughts on inputs...

Lately my focus has been on examining individual stocks for any seasonal bias. To explore this I created a spreadsheet in Excel. For each day of the month, for all months, I total the percentage gain (or loss) and then take the average of this amount for each day. I then graph this in Excel and look for any discernible patterns. What I have notice in a few issues (CSCO and a few semis) is a strong begining of the month rally, followed by a dip, then a run up to the day before options expiration, then a dip, then a mild rally until it tanks at the end of the month.

Now I know there are much better ways to calculate seasonals, and I just wanted to throw together something rough to see if it is worth investigating. From my first impressions it is, as a simple system that buys the Monday open before options expiration and sells the Thurday close would yield close to 10% per trade on a few semis that I looked at. I haven't coded it in Metastock or SuperCharts to get a full trade report yet, but it looks promising.

This could be one area to explore. Has anyone done similar work that they would care to share? Or does anyone have any recommendations of other forms of seasonals we could explore?

I have been thinking of how to code this as an input to a neural net so as to highlight the period. I have programmed a simple Excel VBA macro that counts the number of days left to expiration. I have more testing to do, but the genetic process in NGO hasn't selected them as a good input thus far. Any recommendations on how I could highlight this period? Now that I think of it, perhaps a simple binary input to highlight options expiration week would suffice. I'll have to test it out.

Daniel
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