This is the third and final post investigating day of the month seasonality effects in global equity market indices. In part 1 we looked at U.S. indices; in part 2 we saw that the effects were even more powerful in three major…
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alpha curves C# CAC40 DAX FTSE100 candlestick patterns cross validation CRTDR data mining DOTM DTW Dynamic Time Warping equal risk contribution ETN GTAA HangSeng IBS effect K Nearest Neighbor machine learning mean reversion minimum correlation minimum volatility momentum MultiCharts .NET NASDAQ100 new highs new lows Nikkei225 PCA portfolio optimization position sizing QQQ relative strength risk parity Russell2000 S&P500 seasonality SPY STI swing trend following UDIDSRI VIX VIXY VXV WVF XIV