Jay Kaeppel Interview at BetterSystemTrader.com

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Click here for BetterSystemTrader.com Interview with Jay Kaeppel

From: BetterSystemTrader.com:

Hi there, this time of year we often start hearing about the Santa Claus rally and a host of other seasonality tendencies so this week we’re talking to Jay Kaeppel, author of Seasonal Stock Market Trends, about seasonality and how it applies to trading models.  Even if you’re not interested in trading seasonality directly it could be handy to be aware of these tendencies in the market so be sure to take a listen!

Click here for BetterSystemTrader.com Interview with Jay Kaeppel

Jay Kaeppel has worked as the Head Trader for a CTA and published a number of popular trading books on Futures, Options and Stock Market Seasonality.

He also spent a number of years writing a weekly column titled “Kaeppel’s Corner” and publishes ideas and research on his blog “Jay On The Markets”.

In this episode we discuss a number of seasonal tendencies, how they can be integrated into a trading model, the applications of the Known Trend Index and the reasons why most traders fail.

Topics discussed

  • The Santa Claus rally – what it is and how to trade it
  • How to use seasonality to complement other models
  • Seasonality tendencies around holidays
  • Monthly seasonal tendencies and a simple monthly seasonal system that vastly outperforms stock index returns
  • Boiling down the trading process into 4 simple words
  • Using leveraged ETFs for seasonality trades
  • The worst performing month of the year (it’s not October)
  • Converting seasonal tendencies into a trading model
  • A simple seasonal sector system that takes only 6 trades per year
  • Diversification vs Specialisation and the impact it can have on trading and drawdowns
  • Are seasonal trading strategies just data mining?
  • The Known Trends Index (KTI) and how it can be used in trading
  • Why most traders fail

Click here for BetterSystemTrader.com Interview with Jay Kaeppel

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4 thoughts on “Jay Kaeppel Interview at BetterSystemTrader.com

  1. Dear Jay, I enjoyed your interview on Better System Trader. I had not really considered seasonal trading of stocks and found it quite interesting. I’ve subsequently read your book on the subject. I’m doing some of my own backtesting and have a question regarding the best days of the month. The book states that the best days to be in the market are the first 4 days of the month, the last 2 days of the month, and days 9, 10, 11, 12. In the interview, however, you say the best days are the first 3 days of the month, the last 4 days of the months, and days 9, 10, 11, 12. I’d like to know why and when you made the changes. Thanks very much.

    1. Excellent question. The information in the book is based on research originally brought to light by Norman Fosback in his 1975 book Stock Market Logic. That research goes back to the 1930’s. The information in the interview is based on my own research that found that the last 4/first 3 performed much better than last 2/first 4 since the late 1960’s. Which one is better? Not sure there is such a thing. For what it is worth though I follow the last 4/first 3 approach for my own purposes. Jay

  2. Hello. I also just recently listened to your interview on Better System Trader.

    I have backtested buying on the 19th trading day of the month and selling on the 3rd day of the month on the S&P500 Index. I only have data back to 2009 however. These are the results on a 1 contract basis.

    Trades 77 Win 60% Avg +36.5p Bars 4
    CAGR 3% PF 1.43 SR 0.36 UI 14% R2 0.57

  3. Jay,
    So… I hate to “beat a dead horse”… but just want to be clear on the idea. You are doing the monthly trade as last 4 days and the first 3 days of every month.

    Are you adding middle of the month days? 9-10-11-12?

    Are you adding holidays? 3 days before / 3 days after?

    And are you using S&P 500 ETF or RYTNX or something else?

    Great Podcast!
    Thank you!!!
    -Chris

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