OMXS30 – Statistics – November

admin OMXS30

Monthly statistics for OMXS30 based on the closing price between year 1987 and 2014.

The Q/P graphs are quartile/percentile for the month and based on Close of October, then recalculated to fit November. First graph are with MAX/MIN, next is zoomed in and from P90/P10.

Matrices, read from left and up for variation of ENTRY and EXIT. The matrices show different things such as index points, sum, win rate, win rate mean/median, avg. trade, profit factor, total net profit, avg. trade net profit, median and standard deviation.

Total net profit is calculated at 100 000 and no specific currency. Total net profit is profit minus loss and avg. trade profit is average profit per trade. Count matrix is how many trades there are in the data set, most are 28 but the last days of the month can vary because some months is longer or shorter than others.

Matrix graphs, sum %, win rate %, avg. trade %, profit factor, net profit graphs, median trade % and STDEV, with various ENTRY.

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OMXS30 5 min Development

admin OMXS30

Development for OMXS30 during time period 2013 to 2015-09-04. Divided into years 2013, 2014, 2015 and weekdays/all, interval 5 min. Below are staple/line graphs with multiplied percentage factors to see the total development during a intraday.  TIME CET

All weekdays

Monday

Tuesday

Wednesday

Thursday

Friday

OMXS30 Turn of the Month August

admin OMXS30, Turn of the Month

Ahead of the upcoming Turn of the Month May/June, the statistics are always calculated after closing price and from year 1987 to 2014. This statistics applies only to Turn of the Month August/September. Last trading day of the month is -1 and the first trading day of the new month is 1. The trading day -8 is Thursday 20/8 and trading day 8 is Thursday 10/9.

Statistics are presented with graphs and matrices. The three graphs, first graph at top is all percentiles and quartiles and MAX and MIN, next is reduced to P90 and P10, the bottom graph is scaled to the upper and lower quartile.

Third graph from the top is the one that is most useful, noting the normal range for this month end with the mean and median in the middle of the field. In this post there are matrices that show different values for the calculated period and most importantly win rate, profit factor and avg. trade %, but also index points, sum %.

I would say this Turn of the Month have in history been quite bad and you have to be more careful trading this TOM. BUY and SELL according to statistics is always done at closing price.