Post-Holiday Weakness Strategy

Post-Holiday Weakness is the tendency for prices to drift lower immediately after a major holiday when volume remains thin. With many participants still away, counter-trend moves can gain traction.

Testing indicates an average annual return of about 112%. It performs best in the forex market.

The strategy sells short the day after a holiday and covers quickly once normal participation returns.

A small stop is used to avoid excessive losses during low-liquidity trading.

Details

• Entry Criteria: calendar effect triggers
• Long/Short: Both
• Exit Criteria: stop-loss or opposite signal
• Stops: Yes, percent based
• Default Values:
  • CandleType = 15 minute
  • StopLoss = 2%
• Filters:
  • Category: Seasonality
  • Direction: Both
  • Indicators: Seasonality
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Intraday
  • Seasonality: Yes
  • Neural networks: No
  • Divergence: No
  • Risk level: Medium