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Sorry .. I forgot to include this paper.
It has some interesting ideas for strategy development and verification both
in futures and in stocks. You might want to check this against Sweeney's
ideas/tactics in "Campaign Trading". Demetra is probably easier to use for
this seasonality once you get around the "daily" problem.
http://www.elsevier.nl/cgi-bin/cas/tree/store/revfin/cas_sub/browse/browse.c
gi?year=1999&volume=8&issue=2&aid=8
"Weekday variations in short-term contrarian profits in futures markets"
"5. Conclusions
Our results in this article provide two insights. We observe a consistent
pattern of rapid price
reversals across weekdays. ... etc.
There is also a tendency for Friday contrarian profits to be the largest.
Wednesday contrarian
profits also tend to be large. ... etc.
... Our results indicate that the degree of overreaction tends to be larger
on Fridays. ..."
Good review of other papers to look at also.
Best regards
Walter
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