EEX Phelix Base Yearly – Buy Wednesday, short Thursday?

When it comes to simple trading strategies, the day of the week is surely one of the best things to start with. That’s nothing new when it comes to equity markets. Everybody knows about the calendar effects, based on when the big funds get and invest their money. I do not know about any fundamental reason for the day-of-week effect in German power trading, but is seems to be a fruitful approach.

First of all I have to point out that it is not only the day of the week which is important. A strategy that just buys on Wednesdays and sells 1 or 2 days later would be doomed. But if you add a little filter which confirms the original idea, you will end up with a profitable trading strategy.

This filter will just be a confirmation of the expected move: If you suspect that Wednesday ignites a bullish movement, then wait until Thursday and only buy if the market exceeds Wednesdays high. Same for the short side, wait for a new low before you enter!

Have a look at the chart. The strategy shown buys on Thursdays if Wednesdays high is exceeded. The position is closed 2 days after the entry.

If you run a simple test which day of the week is the best to get ready for a long trade the day after then the next chart shows the return on account of the strategy using data from 2012 up to now: (exit one day after entry)

The winner is: Tuesday!

Conclusion: To buy  EEX Phelix Base Yearly on Wednesday as soon as Tuesdays high is exceeded seems to be good idea. And you should be very careful if Fridays high is exceeded on Monday.

Tradesignal Equilla Code

you will need do 2 new strategies and apply them both on your chart.

Part 1 – the entry strategy

// (c) kahler@quanttrader.at
// add timed exit 
Inputs: Day_of_week(1,0,6), longshort(longentry, shortentry),Trademode(onclose,nextopen,highlowstop);
// Day Of Week: 1=Monday, 2=Tuesday...
// Longshort: go long or go short?
// trademode: onclose=buy on close of specific day
//			  nextopen=trade on open of first bar after specified day
//			  HiLoStop=trade on the next day if todays high (or low) is exceeded


if dayofweek(date)=day_of_week then begin
  if longshort=longentry then begin
    if trademode=onclose then buy this bar on close else
    if trademode=nextopen then buy next bar at market else
    if trademode=highlowstop then buy next bar at high stop;
  end else begin // longshort=shorentry
    if trademode=onclose then short this bar on close else
    if trademode=nextopen then short next bar at market else
    if trademode=highlowstop then short next bar at low stop;
  end;
end;

 

Part 2 – the exit strategy

Inputs: BarstoExit(1);

if barssinceentry=BarsToExit then exitposition this bar on close;