Seasonal analysis for $ES in August

31 ביולי 2023

These are the levels I will be using for the Month of Aug. Capturing the consolidating between the swing high on Thursday Dec 21 2021 to the swing low Oct 13 2022. The bull market was firmly established on Mar 13 2022, and since that date, we have ramped up, with minimal pullback occurring during the RTH session.


What to expect in August.
Mean Range for Aug: 132.38636363636363
Mean Drawdown for Aug: 156.8836023989186
Average Negative Percent Change for Aug: -0.03449550945675213
Probability that Aug Closes Green: 0.5454545454545454
Volatility: 0.03252877023577936
Skewness: 1.628344267963066
Kurtosis: 27.22813857116295
Win/Loss Ratio: 1.2629107981220657
Max Gain: 0.25171477565018585
Max Loss: -0.22375933245498458
Median Return: 0.0009293680297397522
Day of Week Performance:

1 0.006432
2 0.001798
3 0.005112
4 -0.000027
5 0.001326

Week of Month Performance:

1.0 0.012757
2.0 0.000657
3.0 0.000165
4.0 0.000462
5.0 0.000117

Average Volume in August: 1426315.945078966
Day of Month Performance (Seasonality):

1 0.068895
2 0.025557
3 -0.002111
4 -0.003328
5 -0.005049
6 0.002709
7 0.002342
8 0.000180
9 0.001355
10 -0.001091
11 0.000291
12 0.000364
13 0.000501
14 0.000713
15 0.001268
16 0.002440
17 -0.001443
18 -0.001399
19 -0.001359
20 -0.000051
21 0.000075
22 0.001937
23 -0.002042
24 -0.000519
25 0.000673
26 0.001638
27 0.001582
28 -0.001255
29 0.003831
30 -0.005058

Mean Range for Aug: This is the average of the range of highest and lowest prices of the asset for the month of August over all years. It gives an idea of how much the price might swing within this month based on historical data.

Mean Drawdown for Aug: This represents the average of the largest decreases in price that happened within August across all years. It's an indication of the potential risk or loss based on past behavior.

Average Negative Percent Change for Aug: This is the average percentage that the price decreases when August has a negative return. It provides an idea of the typical loss when the price drops in this month.

Probability that Aug Closes Green: This shows the chance that the price at the end of August is higher than the price at the start of the month, based on past data. It provides an idea of the potential for positive returns.

Volatility: This represents how much the price changes on a daily basis within August. Higher volatility means the price can change rapidly in a short time, which could mean more risk, but also more potential for profit.

Skewness: This measures whether the returns are evenly distributed or if they lean towards the positive or negative side. A positive skewness means that returns are usually higher, while a negative skewness means returns are usually lower.

Kurtosis: This measures the extremeness of the returns. A high kurtosis means there are more extreme returns, while a low kurtosis means the returns are more evenly spread out.

Win/Loss Ratio: This is the ratio of the number of days with a positive return to the number of days with a negative return. A higher ratio suggests that there are more profitable days than loss days.

Max Gain and Max Loss: These are the highest single day gain and loss in price during August. These give an idea of the best and worst case scenarios for a single day based on historical data.

Median Return: This is the middle value of all daily returns in August, which can be a good representation of the typical return since it's not affected by extreme values.

Day of Week Performance: This shows the average return for each day of the week, which can help identify if certain days tend to be more profitable than others.

Week of Month Performance: This shows the average return for each week of August, which can help identify if certain weeks tend to be more profitable than others.

Average Volume in August: This is the average amount of the asset that was traded each day in August. Higher volume can indicate more interest in the asset.

Day of Month Performance (Seasonality): This shows the average return for each day of the month of August. This can be useful to identify if there are certain days in the month that are historically more profitable.