Sure, here's gold as represented by the GLD ETF. image Gold and other commodities are tricky because Yahoo! Finance doesn't provide historical data for them. GLD works for our purposes, although it's a relatively short history unfortunately... ...

Diary of a Pro Quant

Thank you! You make a good point, I was debating between mean and median myself. Here's a chart showing mean vs median for the S&P 500: image After reading your post I initially thought median was more representative of what to ...

Diary of a Pro Quant

I don't believe so in this case, if I understand correctly. Being that this is the cumulative sum of log returns, the error at the beginning would be relatively small and huge at the end.

Diary of a Pro Quant

I just created a new seasonal cycle chart for longer-term traders that displays how GBP/USD has performed historically throughout the year. Here's how things are looking now: image If interested, you can read more about how this chart works here: ...

Cable Update (GBPUSD)

I developed a new chart showing the seasonal cycle. It can be used on any asset so let me know if you have any requests, now or in the future. image This is how it works: Calculates the log return for every day start to finish. Break down every ...

Diary of a Pro Quant

Great thread! You're 100% right, you can arrive at statistically sound random strategies and it's a problem. Three ways to address that are: 1.) Use strategies based on a sound theory. At Renaissance Technologies they generate an inordinate amount ...

Survivorship Bias

The ForexFactory calendar is a good place to start. image

GBPUSD - Data on impact of news

Generally yes, alt data can be very valuable when you have access though. Knowing where the price will be 100% of the time is impossible. Attempting to trade with perfection implies you have a deterministic view of the markets, which is a mistake I ...

Diary of a Pro Quant

Yes, I use models to trade but I'm specifically referring to performance statistics of a strategy like those you'd find on a Trade Explorer. A "quant" is a very general term and the resources you need depend on your specific goals. Derivatives ...

Diary of a Pro Quant

I started trading a long time ago and over the years my approach towards the markets has evolved. Now, I do things very differently from when I started and how most traders operate. I rely 100% on statistics to guide my decisions, but my statistical ...

Diary of a Pro Quant

It's the last day of May. Historically, gold hasn't had much direction in June. image

Gold

Sure, here it is! image

DOW Futures

It's the last day of May. Historically, June has been mildly positive for AUD/USD. image

AUD/USD

It's the last day of May. Historically, June has been a down month for GBP/USD. image

Cable Update (GBPUSD)

It's the last day of May. Historically, June has been an up month for USD/CAD. image

USD/CAD

It's the last day of May. Historically, USD/JPY hasn't had much direction in June. image

USD/JPY Discussion

It's the last day of May. Historically, June has been an up month for EUR/USD. image

EURUSD

I made the chart for FX Seasonals, but it's easy to plug in the DJIA so I figured I'd make a contribution here. I'll be posting seasonal charts for FX pairs in their respective interactive trading threads later today.

DOW Futures

We are going into a seasonally weak period for US stocks. Here's a peek at the Dow, June is negative on average. image I can provide seasonals for other indexes if interested.

DOW Futures