main articles Statistical Metrics This article contains the explanations of the backtest metrics, used to describe and evaluate the characteristics and the performance of an anomaly or a portfolio of anomalies.N°Years: the number of years
main articles Calendar Anomalies (3/3) ForecastCycles sections and features The list of the pages about Anomalies: Anomalies ranking: contains the list of the anomalies and their statistical significativity, both in net and gross returns. Anomaly details: contains the backtest of the anomaly
strategies Option Expiration effect (OE) The options expiration day and the preceding days are important dates for each market as option sellers and buyers strive to push the price in their favor when options expire, which often causes
strategies The Lunar cycle effect (Moon) As moon influences natural events, it can be studied whether moon influences financial markets. The Gregorian calendar month, which is 1⁄12 of a tropical year, lasts 30.44 days on average, while
strategies First Day of the Quarter effect (FDQ) These strategies enters in the market at the beginning of each quarter: the 1st of Jan, Mar, Jul, Sep and keep the position open for N days. For example "FDQ 2" opens the
strategies January Barometer (JB) Another anomaly that can be investigated empirically, even if it is not justified by any logical reason, is the January barometer effects. Some research argues, regarding S&P 500, that a positive
strategies Within the Year effect (WTY or Max-Min) There can be a positive period of a year that goes beyond a period of one single month. Every financial instrument can have a different timespan in which its returns are significantly positive
strategies Week of the year effect (WOY) The calendar year is splitted into 52 weeks and it is analyzed the return in each week. Each week of the year is composed by 7 days, starting from the WOY n°1
strategies Month of the year effect (MOY) These strategies enters in the market at the beginning of a month (1: January, 12: December) and close the position at the end of the same month (MOY) or at the end of
strategies Day of the Week effect (TDW) These strategies use a very simple technique to decide the entry and the exit points. The discretion of whether buy or sell an instrument will be purely given by the day of the
strategies Holiday’s effect (HOL) Interesting periods to be studied are the days that precede and follow public holidays, such as Christmas and New Year. In fact, days preceding holidays are generally associated to a positive mood, which
strategies Within the month effect (WTM) A behavior of a financial instrument is also studied ‘within the month’, by splitting of the month in multiple parts and measuring the returns in each one. A possible explanation of this anomaly
main articles Calendar anomalies (1/3) - Theory review In the first version of Forecastcycles, it was just the investigation of one calendar anomaly: the Month Of the Year (MOY). In the new version there will be investigated over 10 calendar anomalies
strategies Turn of the month effect (TOM) In ForecastCycles there are the following strategies to investigate a potential TOM anomaly in a market: TOM FNM: it opens the position at the opening price of the 1st trading day of the
main articles Calendar anomalies (2/3) - Anomaly list The list of the anomalies available on Forecastcycles: Halloween effect (HAL and HAL_others): also known as “Sell in May and go away” is a market-timing strategy based on the hypothesis that stocks
strategies Halloween Effect (HAL) In ForecastCycles there are two types of strategies linked to Halloween effect: HAL: it operates in the "Halloween period". It enters in the market at the opening price of the 1st
L'impatto della stagionalità nei mercati finanziari La stagionalità viene osservata nei grafici come un comportamento ripetitivo di uno strumento finanziario, solitamente all'interno di un anno solare. Ci possono essere molte ragioni per cui la stagionalità è presente nei mercati finanziari, spesso difficili da cogliere..
