Mon, Sep 26, 2016
A A A
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. North America - Acela fight splits hedge fund Connecticut and old money enclaves[more]

    From Bloomberg.com: Connecticut’s residential coastline is two worlds, the one of newcomer millionaires and one whose wealth and New England roots span generations. Now, their differences over a rail route threaten to gum up plans for the U.S. Northeast’s fastest-ever trains. About 30 miles from Man

  2. Activist News - Caesars offers creditors another $1.6bn, would spell end of hedge fund ownership, Activist investors double chance of CEO exits[more]

    Caesars offers creditors another $1.6bn, would spell end of hedge fund ownership From Calvinayre.com: Casino operator Caesars Entertainment has improved its offer to junior creditors to over $5b, but the offer is only good until Friday. On Wednesday, Caesars added an extra $1.6b to the $

  3. Opalesque Exclusive: Modern investor tools (2): A platform that does the job for you[more]

    Benedicte Gravrand, Opalesque Geneva: A new series on technology providers that assist asset allocators. There is disruption in the investor part of the world of hedge funds, coming from platforms that can replace traditionally-run search and analysis. Here is one of them. L

  4. Hedge funds saw four consecutive months of outflows in August, but assets still up by $17.6bn YTD[more]

    Komfie Manalo, Opalesque Asia: Hedge funds witnessed four consecutive months of outflows with investor redemptions totaling $23.8bn as of end of August, data provider Eurekahedge said in its monthly report. But total hedge fund assets grew by

  5. Trend reversals lead to losses as managed futures drops 1.52% in August[more]

    Komfie Manalo, Opalesque Asia: Trend reversals in August have led managed futures traders to lose 1.52% last month according to the Barclay CTA Index compiled by BarclayHedge. The Index is up 0.62% year to dat