Day-of-WeekFX Monday long (inverse of equities)
FX shows opposite Monday/Friday pattern vs equities; long Monday on FX
Source: sciendo.com/sbe-2017
Day-of-WeekWednesday quiet day pattern
Wednesday tends to have lowest range; trade range strategies
Source: quantpedia.com
Day-of-WeekThursday gap-fill bias
Thursday gaps fill ~82% intraday vs 65% Monday; fade Thursday gaps
Source: shareplanner.com
HalloweenSell in May Go Away
Worst 6-month period May-Oct vs best Nov-April; rotate exposure
Source: quantpedia.com
HalloweenHalloween indicator long Nov-April
Long equities Nov-April only; flat May-Oct
Source: quantpedia.com
HalloweenDefensive May-Oct allocation
Rotate to bonds/cash May-Oct; back to equities November
Source: quantpedia.com
September EffectSeptember negative bias
September historically the worst month; reduce exposure or short
Source: sciencedirect.com
FOMCPost-FOMC drift continuation
Trade direction set in 60 min post-FOMC announcement; ride continuation
Source: thehedgefundjournal.com
FOMCPowell press conference fade
Initial post-statement move often reverses after press conference Q&A
Source: thehedgefundjournal.com
FOMCFOMC drift on positive surprises
Larger drift when meeting expected to be hawkish but surprises dovish
Source: quantpedia.com
Options ExpirationTriple Witching pinning trade
Trade pinning to round-number strikes on quarterly expiration days
Source: quantpedia.com
Options ExpirationPost-OpEx Monday weakness
Monday after major OpEx historically weak; short index Friday close
Source: quantpedia.com
Options ExpirationVIX expiration Wednesday volatility
Trade VIX-SPX dislocation on monthly VIX settlement Wednesday
Source: quantpedia.com
Holiday EffectPre-holiday positive drift
Day before major US holidays historically positive returns
Source: sciencedirect.com
Holiday EffectMemorial Day pre-rally
Long Friday before Memorial Day weekend; close Tuesday open
Source: sciencedirect.com
Holiday EffectThanksgiving rally
Wednesday before + half-day Friday positive bias
Source: sciencedirect.com
Holiday EffectChristmas Eve half-day
Light volume drift higher on shortened Christmas Eve session
Source: sciencedirect.com
Holiday EffectPost-holiday gap fade
Fade gaps after holiday weekends as overnight news priced in
Source: sciencedirect.com
Holiday EffectDiwali Muhurat trading
Symbolic +0.5-1% bias during 1-hour Muhurat session in Indian markets
Source: niftytrader.in
Holiday EffectChinese New Year close
Reduce risk before week-long Asian holiday closures
Source: quantpedia.com
SentimentPre-Election uncertainty short
Volatility rises into US presidential elections; reduce or short
Source: quantpedia.com
SentimentPost-Election rally
Year after presidential election historically positive
Source: quantpedia.com
SentimentYear-3 of presidential cycle
Third year of presidential term historically best for equities
Source: quantpedia.com
SentimentYear-2 of presidential cycle
Second year historically weakest mid-term election uncertainty
Source: quantpedia.com
SentimentSports event Super Bowl indicator
Older anomaly; debunked by recent data; not actively traded
Source: sciencedirect.com
IndianBudget Day volatility play
Sell ATM straddle pre-budget for vol crush; or buy strangles for direction
Source: niftytrader.in
IndianRBI MPC pre-meeting drift
Bank Nifty drift into RBI policy decisions Tuesday
Source: niftytrader.in
IndianFiscal year-end March 31 selling
Mutual fund window-dressing reverses around fiscal year-end
Source: niftytrader.in
IndianPre-Diwali rally
Long Nifty 2 weeks pre-Diwali for festive bullish bias
Source: niftytrader.in
IndianMonsoon failure short
Short rural-exposed sectors on poor monsoon forecasts
Source: niftytrader.in
IndianQ4 Indian results season Apr-May
Trade Indian quarterly results Apr-May with vol-targeted sizing
Source: niftytrader.in
IndianNifty Wednesday weekly OpEx pinning
Wednesday weekly expiry brings pinning to high-OI strikes
Source: niftytrader.in
IndianBank Nifty Wednesday OpEx
Bank Nifty weekly expiry pinning + last-hour decay
Source: niftytrader.in
CryptoBitcoin Sunday low pattern
Bitcoin tends to dip Sunday afternoon UTC; buy for Monday recovery
Source: quantpedia.com
CryptoCrypto end-of-month rebalance
Crypto fund month-end rebalance creates last-day reversals
Source: quantpedia.com
FOMC vol crush sell options
FOMCShort vol
Sell IC/strangle pre-FOMC for vol crush after announcement
Source: quantpedia.com
Friday Effect long
Day-of-WeekLong
Friday returns historically positive; long Thursday close cover Friday close
Source: sciendo.com/sbe-2017
Friday-the-13th underperformance
Day-of-WeekShort
Mild documented underperformance on Friday-the-13th; size small
Source: sciencedirect.com
January Effect smallcap long
Turn-of-YearLong
Smallcaps outperform in early January; long smallcap vs largecap January
Source: calendar-effects.behaviouralfinance.net
Last 4 trading days + first 3 days
Turn-of-MonthLong
Concentrated returns from last 4 + first 3 days of month due to pension flows
Source: quantpedia.com/turn-of-month
Last day of month long
Turn-of-MonthLong
T-1 of month-end positive bias; intraday long
Source: quantpedia.com
Mid-Sep weakness fade
September EffectLong
Buy weakness in last week of Sep for October recovery
Source: sciencedirect.com
Monday Effect short
Day-of-WeekShort
Historically negative Monday returns; short Friday close cover Monday close
Source: curlybraces.fsh.se
Month-end rebalance long
Turn-of-MonthLong
Long if equities underperformed in month due to month-end rebalance buying
Source: curlybraces.fsh.se
Month-end rebalance short
Turn-of-MonthShort
Short if equities outperformed in month due to month-end rebalance selling
Source: curlybraces.fsh.se
OpEx week long
Options ExpirationLong
Equity index options expiration week historically positive
Source: quantpedia.com
Pre-FOMC drift long
FOMC DriftLong
Long 1-3 trading days before FOMC; positive drift documented
Source: quantpedia.com
Quarter-end rebalance flows
Turn-of-QuarterBoth
Larger version of month-end; trade reversal of quarterly winners/losers
Source: quantpedia.com
Santa Claus Rally
Turn-of-YearLong
Last 5 trading days of Dec + first 2 of Jan historically positive
Source: sciencedirect.com
T+1 first day of month long
Turn-of-MonthLong
First trading day of month historically positive; long Friday cover Monday/Tuesday
Source: quantpedia.com
Tax-loss selling buy in late Dec
Turn-of-YearLong
Buy beaten-down stocks late Dec for January bounce
Source: calendar-effects.behaviouralfinance.net
Tuesday turnaround
Day-of-WeekLong
Buy Monday late close after Monday weakness; ride Tuesday recovery
Source: thehedgefundjournal.com
An encyclopedia of publicly documented strategies for education. YCAI does not recommend, endorse, or trade any of these. Not investment advice.