statistics of weekday- and month-effects on futures

[man]

fyi. basis of the study is CSI data.

 

[gusy]

Very useful, thank you

 

[rosy2]

whats the conclusion here? any analysis?

 

[man]

no conclusion on our side. generally significance seems to be quite
low, with some outliers within pure random expectations. nevertheless
there might be some interesting parts and we consider to use it
not for trade generation but to adjust bet sizes.

 

[chartie]

Art Collins, author of Beating the Financial Futures Market and a few other books, has done some study on this subject.

He also posts Art's futures biases daily at ET.