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A collection of 4 posts

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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

  • Andrea Ferrari
    Andrea Ferrari
5 min read
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

  • Andrea Ferrari
    Andrea Ferrari
8 min read
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

  • Andrea Ferrari
    Andrea Ferrari
2 min read
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

  • Andrea Ferrari
    Andrea Ferrari
2 min read
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