Market Seasonality Study


About the Author Jeff Swanson

Jeff is the founder of System Trader Success - a website and mission to empowering the retail trader with the proper knowledge and tools to become a profitable trader the world of quantitative/automated trading.

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  • BlueHorseshoe says:

    Hi Jeff,

    Thanks for an interesting article. At a glance, this would appear to give something between a four and five percent annual return on investment in its basic form. You state that the basic form is not a complete trading system, but I beg to differ . . .

    For a buy and hold investor (who has no stops anyway, and will undergo whatever draw-down the market drags him through), then this offers a significant improvement. There is a timing element, which is systematic, and there is also a reduced amount of time spent in the market, which represents a systematic reduction of risk. So yes, it’s all pretty basic, but to someone operating on the very most basic level (the typical buy-and-hold investor), this approach may well be a gift.

    • Good point Bluehoseshoe in regards to the buy and hold investor. I really did not think of it that way. Thanks for posting!

  • Marco says:

    The RSI filter is something completely new! Really strong stats!
    Maybe shorting the lookback period would improve results?
    https://nightlypatterns.wordpress.com

  • Mark says:

    Why is the Sharpe Ratio so low?

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