Did you ever wonder what the best trading day of the month is for any particular stock? What about the best Month or best Week of the year or the best Day of Month or even the best Trading Day’s until the end of the month?
These are all good questions and the answer can easily be found by following a few simple steps in EdgeRater.
EdgeRater can even tell you which one of the above factors is better on a Close-Close, Open-Close or Close-Open basis.
I’m going to choose SPY for this post but you can use any single symbol from your chosen list or even select a group of symbols to aggregate.
Locate the Trade Simulation Batch Run template from the Trade Simulation category of templates (all templates for this post are from the Trade Simulation category).
Ensure that you have only the symbol that you want the answer for checked from your symbol list and leave the Input Config File set to the default Sim_DailyReturns.xlsx Choose to not override the dates of the symbol list so that you get the entire history of your list included in the analysis.
The Trade Simulation Batch Run Template
Run this template to produce the 3 trade simulation reports (one each for Close-Close, Close-Open and Open-Close). The reports viewer will show a summary of the 3 reports and each row will link to the actual reports if you want to see them (not necessary for this post).
The trade simulation summary report for the 3 simulations on SPY
The report shows that there were 2516 daily bars analyzed and the the Close-Close simulation had the highest average % gain over the history of the data (10 years in this case).
Use the Multi-Factor Trade Analysis template with the TagLayout_Seasonal.xlsx configuration which will tag each trade with the appropriate factor and then run monte-carlo simulations on each of those factors for each of the input trade simulation reports.
For trade simulation reports, multi-select the 3 trade simulations that were produced from step 1.
The Multi-Factor Trade Analysis Template with Seasonal factors chosen
This template produces a report containing monte-carlo analysis for each of the factors for each input file and shows the results in one sortable table.
The multi-factor trade analysis report for SPY for each of the cases of open-to-close, close-to-open and close-to-close
The multi-factor trade analysis report contains the results of running each file for each of the different factors (or combinations of factors) and so now it’s very easy to sort and filter the report to find the best factors.
For instance to find the best Trading Day of Month for trading Close-to-Close filter the File Tag column to Close to Close and filter the TDOM column to hide the * and then sort by Final Equity FE50:
Multi-Factor trade analysis report filtered and sorted to show in order of best to worst trading days of the month for trading Close to Close
To find the best Trading Day of the month for any particular stock use the Multi-Factor analysis template on the trade list. In this post I used the trade lists generated from the Sim_DailyReturns.xlsx configuration which generates a trade list for trading Close-to-Close, Close-to-Open and Open-to-Close.
This template will analyze all the factors in the configuration and allow you to sort and filter the results to find the best factors and combinations. In this post I ran the process using SPY as the symbol but each stock can have it’s own individual trading patterns. This is an extremely powerful yet easy way to view the information.
Take the free 14 day trial of EdgeRater today to see which factors are affecting your stocks
Since writing this post I have made a video showing the exact steps and added a bonus section on how to analyze the results using a pivot table in Excel. Video is below.