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Pablo, my findings are that the most profitable days are one-day
reversals from previous days. Static daily seasonal biases tend to
be too small to be profitably tradeable.
Check this out:
http://www.metastocktools.com/Rev2/Rev2.htm
Also take a look at weekly/monthly seasonal bias for the Dow:
http://www.metastocktools.com/#seasonal
And:
http://www.metastocktools.com/MetaStock/Seasonal.txt
"Profit - seasonal - tests seasonal (Nov-April) market strength
theory with two profit indicators and exploration."
jose '-)
http://www.metastocktools.com
--- In equismetastock@xxxxxxxxxxxxxxx, Paolo <italoarg76@xxx> wrote:
>
> Jose:
> Thank U very much for the translation :)
> Your spanish is very good ;)
> I'd like know if these conclusions are applicable to another markets
> THANKS ALSO FOR "ganndi1" 's help <ganndi1@xxx>
> // Pablo
>
> JS> Translation:
>
> JS> Seasonal weekday biases in the Argentinean stock market:
>
> JS> * Wednesdays have a bullish bias;
> JS> * Thursdays are generally neutral;
> JS> * Fridays have a slight bearish tendency.
>
>
> JS> jose '-)
>
> JS> http://www.metastocktools.com
>
>
>
>
> JS> --- In equismetastock@xxxxxxxxxxxxxxx, Paolo <italoarg76@>
wrote:
> >>
> >> Hi,
> >> this messege is in Spanish....I'm sorry!!!!
> >> I'd like translate into English but It's hard for me.
> >> It's about an statistic studio I did.
> >>
> >> ---- spanish -----
> >>
> >> Quise poner a prueba algo que escuche sobre que los viernes y las
> >> bajas asi que hice un estudio estadistico y aca van los
RESULTADOS:
> >>
> >> De 23 de los principales papeles del mercado de Buenos Aires
(todas
> >> empresas lideres)....
> >>
> >> * 0/23 experimentó más alzas los jueves que otro dia de la
semana.
> >> * 1/23 bajó preferencialemente los jueves.
> >>
> >> * 6/23 subiron preferencialmente en miercoles
> >> * 3/23 bajaron los miercoles
> >> * 2/23 subieron y bajaron dias miercoles
> >>
> >> * 12/23 subieron los viernes.
> >> * 15/23 bajaron los viernes.
> >> * 9/23 subieron Y bajaron preferencialemente los viernes.
> >>
> >> CONCLUSIONES:
> >>
> >> * Los Miercoles son dias preferentemente alcistas ;)
> >> * Los Jueves "no pasa nada" :)
> >> * El grueso de las variaciones (al menos cualitativamente) se
dan
> >> los dias Viernes y hay una tendencia muy pequeña hacia la baja.
> >>
> >> AGRADECERIA SI ALGUIEN PUDIERA TRADUCIR ESTO QUE ESCRIBI AL
INGLES
> >> porque lo quiero postear y me enriedo para tipiarlo en
anglosajon.
> >>
> >> AL FINAL va el EXPLORER que cree para ver estos fenomenos:
> >>
> >> ColA // Dia-Alza
> >> ====
> >>
> >> { Day-Week Performance (Bozzolo-2006) }
> >> dia:=DayOfWeek();
> >> AlzaLu:=Cum(dia=1 AND C>Ref(C,-3)); {Lu vs Vi}
> >> AlzaMa:=Cum(dia=2 AND C>Ref(C,-1)); {Ma vs Lu}
> >> AlzaMi:=Cum(dia=3 AND C>Ref(C,-1));
> >> AlzaJu:=Cum(dia=4 AND C>Ref(C,-1));
> >> AlzaVi:=Cum(dia=5 AND C>Ref(C,-1));
> >> If(AlzaLu>AlzaMa AND AlzaLu>AlzaMi AND AlzaLu>AlzaJu AND
> AlzaLu>>AlzaVi,1,
> >> If(AlzaMa>AlzaLu AND AlzaMa>AlzaMi AND AlzaMa>AlzaJu AND
> >> AlzaMa>AlzaVi,2,
> >> If(AlzaMi>AlzaLu AND AlzaMi>AlzaMa AND AlzaMi>AlzaJu AND
> >> AlzaMi>AlzaVi,3,
> >> If(AlzaJu>AlzaLu AND AlzaJu>AlzaMa AND AlzaJu>AlzaMi AND
> >> AlzaJu>AlzaVi,4,
> >> If(AlzaJu>AlzaLu AND AlzaJu>AlzaMa AND AlzaJu>AlzaMi AND
> >> AlzaJu>AlzaVi,4,
> >> If(AlzaVi>AlzaLu AND AlzaVi>AlzaMa AND AlzaVi>AlzaMi AND
> >> AlzaVi>AlzaJu,5,
> >> 0))))));
> >>
> >> ColB // Dia-Baja
> >> ====
> >>
> >> dia:=DayOfWeek();
> >> BajaLu:=Cum(dia=1 AND C<Ref(C,-3)); {Lu vs Vi}
> >> BajaMa:=Cum(dia=2 AND C<Ref(C,-1)); {Ma vs Lu}
> >> BajaMi:=Cum(dia=3 AND C<Ref(C,-1));
> >> BajaJu:=Cum(dia=4 AND C<Ref(C,-1));
> >> BajaVi:=Cum(dia=5 AND C<Ref(C,-1));
> >> If(BajaLu<BajaMa AND BajaLu<BajaMi AND BajaLu<BajaJu AND
> JS> BajaLu<BajaVi,1,
> >> If(BajaMa<BajaLu AND BajaMa<BajaMi AND BajaMa<BajaJu AND
> >>
> >> BajaMa<BajaVi,2,
> >> If(BajaMi<BajaLu AND BajaMi<BajaMa AND BajaMi<BajaJu AND
> >>
> >> BajaMi<BajaVi,3,
> >> If(BajaJu<BajaLu AND BajaJu<BajaMa AND BajaJu<BajaMi AND
> >> BajaJu<BajaVi,4,
> >> If(BajaJu<BajaLu AND BajaJu<BajaMa AND BajaJu<BajaMi AND
> >>
> >> BajaJu<BajaVi,4,
> >> If(BajaVi<BajaLu AND BajaVi<BajaMa AND BajaVi<BajaMi AND
> >>
> >> BajaVi<BajaJu,5,
> >> 0))))));
> >>
> >> Filter
> >> ======
> >>
> >> colA<>0 OR colB<>0
> >>
> >> ---
> >> 1= lunes, 2=martes, 3=miercoles, 4=jueves, 5=viernes
> >>
> >> PABLO :)
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