Seasonax Event Studies

As our readers are aware by now, investment and trading decisions can be optimized with the help of statistics. After all, market anomalies that have occurred regularly in the past often tend to occur in the future as well. One of the most interesting and effective opportunities to increase profits while minimizing risks at the same time is offered by the event studies section of the Seasonax app.

 

A recent event that had quite an impact on certain markets… [PT]

 

And here is one of the markets that was surprised out of quite a few ticks by the UK election – a move from 1.2960 to ~1.27420 in cable in half an hour doesn’t happen every day (although the frequency of such moves has increased of late… the UK is apparently the mother of all election surprises). [PT] – click to enlarge.

 

As a pertinent example for this, the Federal Reserve Bank of New York published a study in 2011 which examined the effect of FOMC meetings on stock prices. The study concluded that these meetings have a substantial impact on stock prices – and contrary to what most investors would tend to expect, mainly before rather than after the announcement of the committee’s monetary policy decision.

 

Study Shows: Time Period Shortly Before the FOMC Announcement Most Important for Stock Prices

The impact is so strong, that it would have been possible to achieve almost the entire cumulative return of the S&P 500 Index since 1998 if one had invested exclusively in the days when FOMC meetings were held.

The chart below illustrates the situation. The blue line shows the trend in the S&P 500 Index since 1998, indexed to 100.  The green line depicts the cumulative return of investing solely on FOMC meeting days, the red line shows the cumulative return of all remaining trading days.

 

S&P 500 Index, FOMC meetings (green), other trading days (red), 1998 to 2017.  A mere 16 trading days per year generated almost the entire return of the index!

 

As you can see above, one could have made a profit almost equal to the “buy & hold” return while taking substantially less risk by investing exclusively during FOMC meetings – which take up a mere 16 trading days per year. By contrast, the red line is lagging by a wide margin. That means that just 6.3 percent of all trading days generated considerably larger profits than all 93.7 percent of the remaining trading days combined!

 

FOMC Event Study on the Seasonax app: S&P 500 Index in the days surrounding the announcement over the past 15 years  (the average of 120 events). The highlighted area is relevant for short term traders: buying 2 days before the announcement and selling 3 days after the announcement was on average the most profitable approach. At the bottom one can see the cumulative profit of this particular strategy (i.e., the 5.day holding period), as well as the returns of every single event. Details on these data can be called up separately. Note: the annualized return was 27.28%. [PT] – click to enlarge.

 

Hence it definitely made a lot more sense to buy stocks in the days leading up to FOMC meetings than buying them after the announcement. Conversely, it was possible to optimize the timing of one’s sales after the announcement.  As this approach illustrates, the study of events is definitely useful for conservative investors as well – it is not just of interest to short term traders.

 

FOMC Meetings Also Have an Impact on Other Markets

Do FOMC meetings only affect stock prices? What about currencies,  bonds and commodities? Obviously, FOMC meetings have an impact on other markets as well. However, while the effect on stock prices  is at least known to some investors by now due to the publication of the Fed study, the same cannot be said of other markets.

That is where the Seasonax app comes in. With its help one can examine how important events affect various asset classes within seconds. This knowledge will give traders/ investors an edge over other market participants.

 

New Seasonax Release Contains 77 Distinct Event Studies

The newest release of the Seasonax app will become available in coming days. A number of functions were expanded in the annual seasonality and intra-day order optimization areas and a few bugs were fixed. The biggest change though is the addition of new event studies. In total 77 distinct event studies can now be examined and can be linked to every instrument available on Bloomberg Professional or Thomson-Reuters.

How does the euro, the DAX or the price of crude oil typically react to interest rate hikes by the Fed, to elections in the UK or to FOMC meetings? These are just some of the questions you will be able to find the answer to with just a few mouse clicks on Seasonax.

 

Charts by: StockCharts, Seasonax

 

Chart and image captions by PT where indicated

 

For more information on Seasonax click here!

 

Dimitri Speck specializes in pattern recognition and trading systems development. He founded Seasonax and publishes the website www.SeasonalCharts.com , which features free-of-charge seasonal charts for interested investors. In his book The Gold Cartel  (published by Palgrave Macmillan, see link on the right hand side), Dimitri discusses gold price manipulation and modern-day credit excess. His ground-breaking work on intraday patterns in gold prices was later used by the authorities to prove gold and silver fix manipulation. His commodities trading strategy Stay-C has won awards all over Europe and was the best-performing fund of its type ever launched on a German exchange.

 

 
 

Emigrate While You Can... Learn More

 
 

 
 

Dear Readers!

You may have noticed that our so-called “semiannual” funding drive, which started sometime in the summer if memory serves, has seamlessly segued into the winter. In fact, the year is almost over! We assure you this is not merely evidence of our chutzpa; rather, it is indicative of the fact that ad income still needs to be supplemented in order to support upkeep of the site. Naturally, the traditional benefits that can be spontaneously triggered by donations to this site remain operative regardless of the season - ranging from a boost to general well-being/happiness (inter alia featuring improved sleep & appetite), children including you in their songs, up to the likely allotment of privileges in the afterlife, etc., etc., but the Christmas season is probably an especially propitious time to cross our palms with silver. A special thank you to all readers who have already chipped in, your generosity is greatly appreciated. Regardless of that, we are honored by everybody's readership and hope we have managed to add a little value to your life.

   

Bitcoin address: 1DRkVzUmkGaz9xAP81us86zzxh5VMEhNke

   
 

Your comment:

You must be logged in to post a comment.

Most read in the last 20 days:

  • What Do “Think Tanks” Think About?
      “Russiagate” WEST RIVER, MARYLAND – We’re back at our post – watching... reading... trying to connect the dots. And we begin by asking: What do “think tanks” think about? The answer in a minute. First, there is a dust-up in the Washington, D.C., area. “Russiagate,” it is called. As near as we can make out, some people think the Trump team had or has illegal or inappropriate contacts with the Russian government.   It's all very obvious, if one looks...
  • Parabolic Coin
      The Crypto-Bubble - A Speculator's Dream in Cyberspace When writing an article about the recent move in bitcoin, one should probably not begin by preparing the chart images. Chances are one will have to do it all over again. It is a bit like ordering a cup of coffee in Weimar Germany in early November 1923. One had to pay for it right away, as a cup costing one wheelbarrow of Reichsmark may well end up costing two wheelbarrows of Reichsmark half an hour later. These days the question is...
  • Quantitative Easing Explained
      [Ed. note: This article was originally posted in November of 2010 - we have decided to republish it with updated charts, as it has proved to be very useful as a reference - the mechanics of QE are less well understood than they should be, and this article explains them in detail.]   Printing Money We have noticed that lately, numerous attempts have been made to explain the mechanics of quantitative easing.  They range from the truly funny as in this by now 'viral' You Tube...
  • In Gold We Trust, 2017
      The 11th Annual In Gold We Trust Report This year's Incrementum In Gold We Trust report by our good friends Ronald Stoeferle and Mark Valek appears about one month earlier than usual (we already mentioned in our most recent gold update that it would become available soon). As always, the report is extremely comprehensive, discussing everything from fundamentals pertaining to gold, to technical analysis to statistical studies on the behavior of gold under different economic...
  • The Three Headed Debt Monster That’s Going to Ravage the Economy
      Mass Infusions of New Credit   “The bank is something more than men, I tell you.  It’s the monster.  Men made it, but they can’t control it.” – John Steinbeck, The Grapes of Wrath   Something strange and somewhat senseless happened this week. On Tuesday, the price of gold jumped over $13 per ounce.  This, in itself, is nothing too remarkable.  However, at precisely the same time gold was jumping, the yield on the 10-Year Treasury note was slip sliding down...
  • Recession Watch Fall 2017
      One Ear to the Ground, One Eye to the Future Treasury yields are attempting to say something.  But what it is exactly is open to interpretation.  What’s more, only the most curious care to ponder it. Like Southern California’s obligatory June Gloom, what Treasury yields may appear to be foreshadowing can be somewhat misleading.   Behold, the risk-free tide...   Are investors anticipating deflation or inflation?  Are yields adjusting to some other market or...
  • Stocks, Bonds, Euro, and Gold Go Up – Precious Metals Supply and Demand
      Driven by Credit The jobs report was disappointing. The prices of gold, and even more so silver, took off. In three hours, they gained $18 and 39 cents. Before we try to read into the connection, it is worth pausing to consider how another market responded. We don’t often discuss the stock market (and we have not been calling for an imminent stock market collapse as many others have).   NYSE margin debt has reached new record highs this year, dwarfing previous peak...
  • Jayant Bhandari on Gold, Submerging Markets and Arbitrage
      Maurice Jackson Interviews Jayant Bhandari We are happy to present another interview conducted by Maurice Jackson of Proven and Probable with our friend and frequent contributor Jayant Bhandari, a specialist on gold mining investment, the world's most outspoken emerging market contrarian, host of the highly regarded annual Capitalism and Morality conference in London and consultant to institutional investors.   As soon as Jayant touches down in London, he is accosted by...
  • Monetary Madness and Rabbit Consumption
      Down the Rabbit Hole “The hurrier I go, the behinder I get,” is oft attributed to the White Rabbit from Lewis Carroll’s, Alice in Wonderland.  Where this axiom appears within the text of the story is a mystery.  But we suspect the White Rabbit must utter it about the time Alice follows him down the rabbit hole.   Pick a rabbit to follow...   No doubt, today’s wage earner knows what it means to work harder, faster, and better, while slip sliding behind. ...
  • The Anatomy of Brown’s Gold Bottom – Precious Metals Supply and Demand
      The Socialist Politician-Bureaucrat with the Worst Timing Ever As most in the gold community know, the UK Chancellor of the Exchequer Gordon Brown announced on 7 May, 1999 that HM Treasury planned to sell gold. The dollar began to rise, from about 110mg gold to 120mg on 6 July, the day of the first sale. This translates into dollarish as: gold went down, from $282 to $258. It makes sense, as the UK was selling a lot of gold... or does it?   Former UK chancellor of the...
  • Mexicans and Chinese Aren’t “Stealing Our Jobs”
      Tremendous Flop GUALFIN, ARGENTINA – Now comes a report from the Financial Times that tells us the nation’s No. 1 industry – home building – has been backing up for a quarter of a century. According to the newspaper, U.S. home builders “started work on the same number of houses in the past year as they did a quarter of a century ago, even though there are 36% more people working as residential builders now than then.”   Moat contractors have been particularly bad....
  • The Valium Era
      Don’t Be Fooled by These Calm Markets What is happening in the world of money? Well - the most striking thing is: nothing. It doesn’t seem to matter what happens. Dysfunction in Washington. Meltdown of the techs. No matter how rough the seas get, the markets glide along... scarcely noticing the storm-tossed waves below.   Thankfully the world's central planners are so well-versed in egging on the creation of an ever greater mountain of debt and seemingly limitless asset...

Support Acting Man

Austrian Theory and Investment

Own physical gold and silver outside a bank

Archive

j9TJzzN

350x200

Realtime Charts

 

Gold in USD:

[Most Recent Quotes from www.kitco.com]

 


 

Gold in EUR:

[Most Recent Quotes from www.kitco.com]

 


 

Silver in USD:

[Most Recent Quotes from www.kitco.com]

 


 

Platinum in USD:

[Most Recent Quotes from www.kitco.com]

 


 

USD - Index:

[Most Recent USD from www.kitco.com]

 

THE GOLD CARTEL: Government Intervention on Gold, the Mega Bubble in Paper and What This Means for Your Future

 
Buy Silver Now!
 
Buy Gold Now!
 

Oilprice.com