Seasonal
software? (May
27)
Dear Mr. Smith,
I have long admired your work at FNN. I have previously been a subscriber to CTCR...thanks
for taking it over. I just received your special reprint of the Nov 1998 issue
and indeed it was fascinating! A good job...I agree with your assessment of Jake
Bernstein (How did Larry ever get mixed up with him?) Right now I'm interested
in combining multiple seasonal factors for the nearby S&P contract (not spread)
or the cash index. But maybe Jake's the best out there in seasonals...
I've
ordered and studied The Stock Trader's Almanac. Traditionally, they're the experts
at stock market seasonals but I find the data incomplete. The same to a slightly
lesser degree with the Supertrader's Almanac. The newsletter Market Logic is fairly
good but analyzed data only goes to 1994-5.
Have
you ever or do you know of any company that makes (or could make) software that
produces the expected daily % change of the S&P -- taking into account the year
of the presidential cycle, the annual bias, holiday effect, monthly, five (six)
day and 401(k) bulge, day-of-month and day-of-the week historical record. All
those "seasonals" could be combined into a final grand score (without double counting)
for each and every trading day of any particular year. For instance you could
start with the average yearly gain of 4.5%, which is four and one-half% or .045
in decimal form. Divide that by the number of trading days (250), and you get
.00018, which is due to the secular increase; the monthly % change in March, for
example is .01 and dividing that by 21 (days) results in .00048, etc. I remember
in the early days there was a fellow who predicted the market on a daily basis
for a whole year (or more) ahead. I believe anyone could do it with reasonbly
accurate results with the available seasonal data and a computer program!
The
result, of course, could be profitably used by anyone according to his or her
style as either a standalone or supplement to other techniques. It's remarkable
that by now such an obvious statistically viable and stable bias has not been
long since discounted by the market but such seems not the case... (see page four,
THE 1999 STOCK TRADER'S ALMANAC). Since 1950 the only major shift would seem to
be the day of week strengh reversal (from Friday to Monday) and the 401(k) mid-month
bulge as well as an extra end of month bullish day.
This
niche procedure would seem to be a natural and I have either overlooked it (serious
vendors - even after searching the web) or it has been neglected by vendors altogether.
If the latter is the case, do you think the data could be customized by a programmer?
The bottom line is that the info can be gathered and processed but it is very
tedious to do it by hand. Would you please comment and help me?
Thanks,
Bill (VIEW ANSWER)
