What has Worked in January?

After my calendar analysis of the Russell 2000 proved to be right on target (up more than 5% since that point), I couldn’t resist but to take a similar look at the month of January. My universe was my list of futures. On the long side, the top three (sorting done by winning months) were:

Future Total Months Winning Months Mean Return Median Return
Palladium 31 87% (27) 2.88 2.68
10-Year Note 31 71% (22) 3.73 1.33
Platinum 41 66% (27) 2.23 2.58

The Palladium has a very high success rate, but the return seems to be a bit low for a metal.

Although the note has much lower success rate, it looks more promising to me mainly for two reasons. First, the mean return is higher than for Palladium, although the lower median suggests we are dealing with outliers. In fact, the median return, 1.33%, is significant for notes, considering the relatively low volatility of these markets. The other (second) reason is that the other notes (the five and two year) were also high on the list. In other words, looks like January might be strong for short term financials.

The bottom performers (lowest winning month percentage) were:

Future Total Months Winning Months Mean Return Median Return
Swiss Franc 38 32% (12) -1.41 -1.64
Canadian Dollar 36 33% (12) -0.27 -0.40
Euro 39 36% (14) -0.99 -0.92
Japanese Yen 36 39% (14) -0.49 -0.70

Based on that it looks like January is definitely the month of the US dollar and if history is to repeat itself, the demise of all other currencies is about to resume.

Comments

  1. Ryan says:

    Have you looked at splitting the results between day & night returns?

    https://daxovernighttrading.wordpress.com/

    1. ivannp says:

      Haven’t looked into splitting the returns. Is it wrong to assume that it’s likely to be meaningful only for some of the Grains, some of the Meats and some of the Softs? The rest are pretty much open 24/7.

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