I accumulated daily data since 1990 including VIX, SPX, DJ30, DJ20, COMP and OIH as I was interested in the monthly effect. Do the averages actually show a significant increase around the end of the month? And indeed fro my data there was an average better performance for each average around the change of month than in the middle of the month.
I decided to look for other calendar trades and saw your posts on Tuesday to Friday. Since I had all the data on a spread sheet, it was easy for me to run the calculation and determine whether there was an effect there. The results are displayed as the percent increase in value over the three days either short or long. In all cases except the NASDAQ (COMP) short positions such trades were profitable. In all cases the long side was more profitable than going short. The data shows:
SPX Long: 0.346252%, Short: 0.1378654%
DJ30 Long: 0.141262%, Short: 0.110512%
COMP Long: 0.241509%, Short: -0.0729347%
DJ20 Long: 0.099891%, Short: 0.0685373%
OIH Long: 0.260383%, Short: 0.0224442%
The number of weekly trades were 160 long and 210 short over approximately 800 weeks. So there were a fair number of such events. I don't know the average three day trade profitability but since the short side was profitable mostly I have to assume that it is a useful system though you state that there wasn't enough delta. Over the last thousand days the results on SPX show:
SPX Long: 0.3223946% Short: -0.009%
with 42 events long and 42 events short.
While I was at it, I checked the weekly behavior of stocks. There is this data that states that the market goes down on Monday and up on Friday and the rest of the week. Well, surprisingly, since 1990 there has been no Monday effect. If anything Monday shows better performance than the rest of the week. In that case maybe we should look at Thursday and Friday closes and see if that makes a difference for Monday to Wednesday performance. After all, people have the whole weekend to let fear and greed act on their psyches and then trade on Monday. I recall that if there was a big down day on Friday, that Monday was invariably worse. This is anecdotal and I would be interested in seeing whether it is true.
That's all for now. Let me know your thoughts and how you are trading now.
Ciao,
Rolatzi |
