Skip to main content
Track Seasonality analysis
41 / 41
Search the archiveLibrary
Library

2020issue C0730-35

A single position as a sleeve on a seasonal regime map

A rule-based book can keep a permanent core, a trend-following sleeve, and a tactical sleeve that may follow seasonal calendars. Editorial reading: treat one position as a sleeve on that calendar-and-trend map and evaluate hold, reduce, or rotate rules instead of debating one universal market method.

  • Treat a single position as one sleeve inside a calendar-and-trend regime map, then evaluate hold, reduce, and rotate rules instead of debating one universal method.
  • A permanent core, a trend-following sleeve, and a tactical sleeve that may use seasonal rules are sketched as complementary parts, not as rival systems.
  • Equity power zones and dead zones, plus vehicle-specific bond calendars, are contrast windows for regime context rather than automatic stay-out orders.
  • Combining non-correlated sleeves is offered as a path toward a smoother lower-left-to-upper-right equity curve, with staying in the game after losses ranked above peak gains.
Entries in this reading3 entries
Current trackSeasonality analysis65 readingsSeasonal trading90 readingsTrend following97 readings

A position is not the whole book

An objective, rule-based plan is presented as a way to reduce fear-and-greed decisions. Human nature is treated as a persistent obstacle rather than a reliable edge.

Trading success is framed as a single ratio of win rate times payoff. Staying in the game after losses is treated as more important than peak gains. The Murphy corollary is the planning habit that assumes adverse outcomes will arrive and therefore sizes and exits so the next session remains possible.

Buy-and-hold of a stock index with all capital is described as a drifting-with-the-tide stance. That stance can encounter multi-decade sideways markets and historically large peak-to-trough declines.

A three-sleeve sketch

A three-sleeve sketch keeps a permanent core holding, a trend-following sleeve that aims not to ride the largest declines all the way down, and a tactical sleeve that may use technical, seasonal, or fundamental rules.

Combining several non-correlated approaches is offered as a path to a smoother lower-left-to-upper-right equity curve. No single best strategy is assumed. Methods that tend to move differently can be paired as zig-zag sleeves, so one sleeve can offset another during a given regime. The llur goal is that easier-to-stay-with path, not a search for one winning method.

Power zones as contrast, not a stay-out switch

A November-through-April equity window, labeled a power zone, showed net gains across many international and single-country indexes. The remaining months, labeled a dead zone, showed net losses in nearly every series tested.

The power zone is typically November through April and often includes July, when many equity indexes historically clustered most of their net gains. The dead zone is the complementary window, used as a contrast rather than as an automatic stay-out rule.

Holding the MSCI EAFE index only in November through April plus July produced a cumulative gain, while holding only in the other months produced a cumulative loss.

Bond calendars differ by vehicle

Bond-market calendars differed by vehicle. Convertibles and high-yield were favored December through April, long-term Treasuries May through August, and intermediate Treasuries September through November.

Editorial: a seasonal window that fits one sleeve does not automatically become the calendar for the whole book. Vehicle-specific windows belong on the same regime map as the equity power zone and the trend-following sleeve.

What the map is for

The archive does not assume a single best strategy. A rule-based plan is the device for limiting fear-and-greed choices while the path stays tradeable after losses.

Editorial: use the calendar-and-trend map to evaluate one holding as a sleeve among several. The question is when that sleeve should be held, reduced, or rotated, not which market method is universally right.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
41 of 41 in the Seasonality analysis track
2001Track finished · Next track: Sector rotationConstructing relative-strength ratios for spreads and rotation20 readings
All readings on this track · 41 readings
  1. 1989Evaluating venue volume as a speculation-breadth signal
  2. 1991A thirty-name price-weighted average as a seasonal regime classroom
  3. 1991Ranked half-year rate changes as an equity signal filter
  4. 1991Demographic wave as a market-regime overlay
  5. 1994Seasonal range regimes as a futures context overlay
  6. 1996Evaluating presidential party terms as equity regimes
  7. 1996A dominant cycle is a baseline, not a reprint
  8. 1996Seasonality and presidential election cycle regimes
  9. 1997Stacking calendar regimes around election years
  10. 1997Calendar seasonality as a testable trading procedure
  11. 1997Lunar phase delay as a testable seasonal regime
  12. 1998Seasonal system construction without curve-fitting
  13. 1999Crowd life cycle as a market regime map
  14. 2001Regime-dependent cycle timing after four-year and seasonal lows
  15. 2002A 2002 case study in regime-first seasonal selection
  16. 2002Seasonal windows and dominant-cycle rules
  17. 2002Fifty-four-year wholesale cycle as an inflation-deflation regime map
  18. 2004The championship conference rule as a yearly regime case study
  19. 2004Election-year seasonality as trade regime context
  20. 2006Two-ten inversion as an intermarket regime filter
  21. 2006Midterm-to-presidential seasonal holding window
  22. 2008Two-layer equity regimes from seasonality and price history
  23. 2008Seasonal futures as a regime filter, not a calendar rule
  24. 2008Retesting seasonal rules when regimes change
  25. 2010Corn and wheat staggered calendars as dollar-neutral seasonal spreads
  26. 2011Name the S&P 500 trend regime before using weekly and monthly seasonality
  27. 2012Seasonal windows that wait for confirmation
  28. 2013Pair-sleeve rotation as a two-state sector regime-switch
  29. 2013Lunar phase as a seasonal overlay on implied volatility
  30. 2013Soybean seasonal highs in a five-year carryover regime
  31. 2014Year-end tax-loss selling as a seasonal regime
  32. 2017Calendar-window overlays that mute mechanical signals without rewriting the system
  33. 2017A four-year cycle and volume case study of a secular bear
  34. 2017Treat the valuation climate as climate and implied-volatility extremes as weather
  35. 2019Seasonal depth versus tracking for futures position sizing
  36. 2019Stacking cycle forecasts with seasonal regimes
  37. 2019Hit-rate gates for seasonal regime evaluation
  38. 2019July to October as a seasonal window, not a reason to own the name
  39. 2020A recession-regime checklist from valuation stretch and the yield curve
  40. 2020Treat a seasonal idea as a stay-or-sit holding procedure
  41. 2020A single position as a sleeve on a seasonal regime map
By fieldSeasonality and regimes131 readingsBy year2020100 readings
All 65 readings tagged Seasonality analysis
Also on Seasonality analysis5 readings
1989Weekday price paths are regime-dependent1990Calendar windows as testable index-futures procedures1991A thirty-name price-weighted average as a seasonal regime classroom1996Evaluating presidential party terms as equity regimes1996Nested calendar clocks in long-bond futures