{"id":155757,"date":"2010-01-08T13:55:00","date_gmt":"2010-01-08T18:55:00","guid":{"rendered":"http:\/\/www.businessinsider.com\/how-quant-traders-make-millions-trading-around-us-holidays-2010-1"},"modified":"2010-01-08T13:55:00","modified_gmt":"2010-01-08T18:55:00","slug":"how-quant-traders-use-american-holidays-to-make-millions-trading-the-sp500","status":"publish","type":"post","link":"https:\/\/mereja.media\/index\/155757","title":{"rendered":"How Quant Traders Use American Holidays To Make Millions Trading The S&P500"},"content":{"rendered":"

Trading the Odds has done detailed trading studies of the S&P500 around key U.S. holidays. It opens the door to trading the S&P500 SPDR ETF<\/a>. Awesome stuff, would be interesting to hear any potential criticism though. Here are some examples:<\/p>\n

New Year’s Day:<\/span> Buy at the end of trading on the first day of the year, then sell at the end of trading on the following day.<\/strong>
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Trading Odds:<\/a> Interesting to note that setup 1 (going long on the close two sessions before the New Year’ Day) and setup 3 (going long on the close the session immediately following the New Year’ Day) show excellent long-term historical results (Profit Factor and Winning Percentage, with t-score exceeding the +1.645 mark for statistical significance), but only setup 3 stood the test of time with respect to the last 20 years (the most recent session on Dec. 31 confirmed those negative odds).<\/p>\n

First conclusion with respect to the market model: The model will take a long position on close of the first session of a new year.<\/p>\n

Washington’s Birthday:<\/span> Short at the close of trading right before Washington’s Birthday, then close the short at the end of trading on the following trading day.<\/strong>
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Trading Odds:<\/a> Interesting to note that form a long-term and intermediate-term historical perspective, the session(s) immediately preceding Washington’s Birthday\/Presidents’ Day show a negative bias.<\/p>\n

Third conclusion with respect to the market model: The model will not take a long position on close of the the session(s) immediately preceding Washington’s Birthday\/Presidents’ Day (at least if the market doesn’t show any other requirements met, e.g. significantly oversold market conditions).<\/p>\n

Continue to the entire trading study here >>><\/a><\/h3>\n

\"Trading<\/p>\n

Join the conversation about this story »<\/a><\/p>\n

See Also:<\/b><\/p>\n