Sun, Oct 22, 2017
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. Regulatory - David Stockman: Trump tax reform overhaul is a pipe dream, stocks are heading for 40-70% plunge, Carried interest tax: How much does it matter?, Odey sees 'terrifying' mix in MiFID, tapering, asset values, Hedge funds come together to share cost of MiFID and research, SEC turns up the heat on U.S. investment advisers, India's Sebi asks hedge funds to report investments in commodity derivatives[more]

    David Stockman: Trump tax reform overhaul is a pipe dream, stocks are heading for 40-70% plunge From CNBC.com: David Stockman is warning about the Trump administration's tax overhaul plan, Federal Reserve policy, saying they could play into a severe stock market sell-off. Stockman, the R

  2. North America - Puerto Rico rejects loan offers, accusing hedge funds of trying to profit off hurricanes[more]

    From TheIintercept.com: Puerto Rico has rejected a bondholder group's offer to issue the territory additional debt as a response to the devastation of Hurricane Maria. Officials with Puerto Rico's Fiscal Agency and Financial Advisory Authority said the offer was "not viable" and would harm the islan

  3. Investing - WPP targeted by short-selling American hedge fund, Sun co-founder sells secretive hedge fund on big chip trade[more]

    WPP targeted by short-selling American hedge fund From Cityam.com: An American hedge fund has mounted a bet against WPP, the world's largest advertising group, with a trade worth almost £90m. Lone Pine Capital has built a short position worth 0.51 per cent of the FTSE 100 company,

  4. Hedge funds up as industry adjusts to rising rates[more]

    Komfie Manalo, Opalesque Asia: Hedge funds have reshuffled their portfolio after nearly four weeks of rising rates as the Lyxor Hedge Fund Index was up +0.2% from 19 September to 26 (+1.1% YTD), fuelled by strong results of global macro funds, Lyxor Ass

  5. Manager Profile - How the world's hedge fund king used 'idea meritocracy' to become a billionaire[more]

    From Forbes.com: In 1982, Ray Dalio made what he calls the biggest mistake of his life. He made a bet that there would be an economic collapse stemming from a debt crisis. And he was wrong. He lost money. He lost his client's money. He had to let people go from his firm and borrow money from his dad