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February 23, 2017

JOB DAYS – EVENTS OVERNIGHT TRADING

 

jobs-days

 
As I did for Fed Minutes and Fed Days before, I went on backtesting Job’s Days patterns back to SPY inception. Job’s Day is the first Friday of every month when labour market data are released. This is a scheduled market event.

Here are the stats:
 
NT %W PF AW AL MAX MIN % DRAWDOWN
167 69,46 3,42 0,51 -0,44 2,1 -1,3 -1,70
    T-score 5,28        

 

Below are the yearly returns trading 1 Emini contract:

I grouped together all Nightly Patterns library Job’s Day patterns to perform this backtest, both long and short trades.
I like the strong fundamental economic sound for these patterns as the great 1999 dot-com bubble year shows. They are a great diversification for the other overnight patterns.
I’m always trying to answer to the question of how NIGHTLY PATTERNS would have behaved before its inception in 2012.
If you have any questions, do not hesitate to contact me at:

nightlypatterns@hotmail.com

Best regards,
Marco Simioni
NIGHTLY PATTERNS

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