Monday 31 January 2011

1st of the month bias

Seasonal trends are one of many factors that influence my trade selection.  Tomorrow is the 1st of the month.  The seasonal stock market capital inflows that historically occur on this day has created a clear directional bias.

To demonstrate this, below is a equity curve of a simple strategy that goes long 1 contract of es emini futures on the open of the overnight globex session 1630 et and closed at the end of the session the next day.


Looking more deeply at the numbers, this strategy would have been profitable for 11 out of the 12 years in the test sample (2007 was a small loss overall for the year).

Whist there are many other factors to consider when taking a trade, this directional bias is worth being aware of.

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This purpose of this blog is to discuss trading concepts and ideas for my trading methodology.