Ignatz Schalajda is Managing Director of Almani GmbH Trading Systems Development in Stuttgart, Germany.
His system is based on the established Turn of the Month effect.
Per https://quantpedia.com/strategies/turn-of-the-month-in-equity-indexes/ ,
“Our analysis reveals that the turn-of-the-month effect in S&P 500 futures contracts is the only calendar effect that is statistically and economically significant and persistent over time.”
Our presenter will explain in detail how he has developed a trading system that exploits this effect by trading indexes and/or options such as SPX, SPY, MES and options. He adds an additional seasonality trade, “Turnaround Tuesdays” to improve the smoothness of the overall results, and also adds a hedging component.
Ignatz has planned risk reduction during the trade using GTC orders. Near the end of a trade, it is fully protected and can even protect younger trades using a back ratio spread that makes a portfolio net long puts.
He will show detailed back test results, which are almost straight-up, and live-trading results of 126% over the past year with low drawdowns.
He is generously sharing the underlying ideas and even openly showing the fine-tuning details he has made. You could implement it yourself or follow it on Aeromir.
This system meets a lot of criteria for everyone from beginner to expert trader:
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identifying a simple, sound edge
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comprehensive back-testing
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avoiding curve fitting
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targeting low drawdowns
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transparency and disclosure
and in so doing, is vastly superior and more useful, imho, than the large majority of systems you will see.
Ignatz is also offering a paid alerts service on Aeromir at https://info.aeromir.com/atom/ .
We hope to see you there on Zoom. To RSVP, please make sure you are signed up and logged in at the very top right above, and then click GOING above. If you have problems doing that, just attend anyway.
The meeting link is