Sat, Apr 18, 2015
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. Tiger Global falls 2.9% in March, down 5.3% in Q1[more]

    From Reuters.com: Investment firm Tiger Global Management, one of the hedge fund industry's most closely watched players, told clients that its hedge fund lost 5.3 percent during the first quarter, an investor said on Wednesday. Much of the decline came in March when the fund lost 2.9 percent,

  2. It’s not just hedge funds—IMF study finds stability risks from ‘vanilla’ funds[more]

    From MarketWatch.com: Leveraged hedge funds and banklike money-market funds are the parts of the asset-management industry most associated with risks to financial stability. But a report from the International Monetary Fund suggests that “plain-vanilla” mutual funds and exchange-traded funds also ca

  3. Hedge funds gain 2.4% in Q1 driven by currency and commodity markets[more]

    Komfie Manalo, Opalesque Asia: Hedge funds posted positive results last March to conclude a strong first quarter, with performance driven by strong macro trends in currency and commodity markets, complemented by broad-based gains and positioning in event driven, equity hedge and fixed income-b

  4. Hedge funds looking to continue their rally in Q2[more]

    Komfie Manalo, Opalesque Asia: Hedge funds finished the first quarter on a strong note and are looking to continue the rally in the second quarter, said Lyxor Asset Management in its Weekly Brief. The Lyxor Hedge Fund Index is up 0.4% over the week

  5. Hedge funds down -0.17% in March (+1.23%YTD)[more]

    Bailey McCann, Opalesque New York: The hedge fund industry produced an aggregate return of –0.17% in March to end Q1 2015 up 1.23%, compared to the S&P 500 which increased 0.96%, according to the latest data from eVestment. Hedge fund performance returns were mixed in March amid increased equity

banner