Calendar seasonality is strongly bullish for tonight and my two end of month systems are triggering. My Fed Day related patterns shows 4 interesting bullish edges for tonight if we see a close in the lower 75% of the daily range (not in the upper 25% part). I will so buy the market at close.
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This mathematical effect goes back to its discoverer Claude Shannon:
Markowitz portfolio theory is entirely based on the Shannon's Demon Effect: a portfolio of financial instruments or trading systems can beat the average return of all its components only if their correlation is low or, even better, is negative.
These computational effects are also stronger the often the portfolio is rebalanced.
This incredible edge coming from diversification can even transform a two systems portfolio with negative returns in one single low correlated and frequently rebalanced porfolio with a positive average return.
In this file:
I show how overall results are boosted by Shannon's Demon with 3 simple strategies that are rebalanced daily. One buys long each night from close to next day's open, one from close to next day's close and one from open to close (intraday). It is clearly evident how much overnight trading has a low correlation with other time frame strategy proxies and why it should be included in a trader's portfolio.
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NIGHTLY PATTERNS - Overnight Trading
Grazie.
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Prego! I will try to keep the trade longer till half an hour before the announcement, like Hanna does…
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What time is the FOMC announcement?
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Also, are you setting a target or just waiting until half an hour before the FOMC announcement and just selling then?
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The announcement starts usually at 2pm EDT, but it’s a lot of time from the opening time. Numbers say it’s better staying till before the announcement but my stomach wants to stop the trade at the open. If we gap down I’m waiting a gap cover for sure. This has an edge too durino Fed Days. No I never use targets. I just want the profit to run. I know Hanna does. Only stop loss at 0,65%*(5daysATR), I new that from Hanna Fed Day’s Book of studies. I say half an hour just to avoid strange volatility movements approaching the announcement.
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I will close the trade before the open as usual, as it looks to be a nice up gap with a good profit. I don’t want to risk the gap fading…
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At this point, it seems like you made a wise choice.
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Grazie mille! And a lucky one of course!
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Hello! This is my first visit to your blog! We are a
collection of volunteers and starting a new project in a
community in the same niche. Your blog provided us beneficial
information to work on. You have done a marvellous job!
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Hi! If you tell me something more i’ll appreciate and will be glad to help you if possible.
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