Wed, Dec 2, 2015
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Opalesque Futures Intelligence

David Stendahl Signal Financial Group: Hang Sang Projection on Seasonal Bias

Wednesday, May 22, 2013

David Stendahl is a consultant to managed futures CTAs and author of several books and videos, including Profit Strategies: Unlocking Trading Performance with Money Management and Dynamic Trading Indicators (Marketplace Books).  Mr. Stendhal builds trading algorithms for various quantitative investment firms.

In a recent research note Mr. Stendhal noted that Hang Seng Index (HSI) looks to have a short-term seasonal bearish bias with good down side potential.  He basis this off his seasonal projection weighting of four historic seasonal averages for Hang Seng Index. Specifically, he combined the 5/10/15/20 yearly averages to form a single seasonal line (Chart Below). This seasonal weighted line (shown in blue) is then projected forward 21 calendar days from the outlook run date. Grey circles provide perspective for potential 7/14/21 day return projections. Low and high points over the 21-day period are highlighted in yellow and green respectfully, pointing out potential returns. The final return figure listed on the chart relates the Low to High (L2H) point or High to Low (H2L) point depending upon the Low/High historic order. Each of these return figures are posted at the bottom of the chart and should be used strictly for reference purposes only, as the Seasonal Projection chart is not to be used for buy/sell recommendations. The true use for the Seasonal Projection chart is as a position sizing tool -- indicating when to trade more or less aggressively. If the seasonal projection is bullish or bearish, and this outlook corresponds with your trading system, you might consider trading more aggressively. If however, your system conflicts with the seasonal outlook, you might consider trading more conservatively. The market outlook, shown towards the top of the chart, reflects various return data points compiled into a seasonal projection. Respect the seasonal trends, is his message.  The best time to use Seasonal Projection charts is when the current Hang Seng Index contract is highly correlated to its 5/10/15/20 yearly seasonal charts.

Seasonal Projection:

This article was published in Opalesque Futures Intelligence.
Opalesque Futures Intelligence
Opalesque Futures Intelligence
Opalesque Futures Intelligence
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. David Einhorn's hedge fund plunged 5.2% in November, set for 2015 loss[more]

    From David Einhorn’s main hedge fund at Greenlight Capital fell 5.2 percent in November and is poised for only its second losing year in almost two decades. The losses bring the fund’s yearly drop to almost 21 percent, according to an e-mail sent to clients that was obtained by Bloomb

  2. Other Voices: Hedge fund marketing and the selling cycle[more]

    By Bruce Frumerman. How long is the selling cycle now? That’s a question my financial communications and sales marketing consulting firm has been asked on a regular basis by hedge fund firm owners and sales people, ever since we opened the doors to our firm in 1987 pre-crash. Wa

  3. People - Solus Alternative Asset Management adds chief strategist from BTIG[more]

    From Daniel Greenhaus joined hedge fund manager Solus Alternative Asset Management as managing director and chief strategist. He will work closely with Chris Bondy, Solus’ chief economist, managing director and executive vice president, said Chris Pucillo, CEO and chief investmen

  4. Commodities - Stung by oil, distressed-debt traders see worst losses since '08[more]

    From It’s mid-November, but for investors who trade in the debt of distressed companies, the year’s already done -- and they lost. Hedge funds that specialize in the debt are grappling with their worst declines in seven years. Funds managed by Knighthead Capital Management, Candlewood

  5. Regulatory - Major changes in partnership audit procedures contained in 2015 Budget Act[more]

    Contained in the Bipartisan Budget Act of 2015, signed by President Obama on November 2, is a rather complex provision that materially changes how partnerships are audited. Generally effective for tax years beginning after December 31, 2017, the so-called “TEFRA” and “Electing Large Partnership” rul