seasonal

# Seasonal / Calendar Effect Strategy ## Purpose Uses time-based regularities in financial markets (month effects, day-of-week effects, and similar patterns) to generate trading signals. Examples include the China A-share "spring rally" (January-March) and the "sell in May" effect. ## Signal Logic ### Month Effect (Default) - Specified bullish months → go long - Specified bearish months → go short / stay out - All other months → stay flat ### Day-of-Week Effect (Optional Overlay) - Monday / Friday effects - Start-of-month / end-of-month effects ### Combined Mode Month signal × weekday signal; open a position only when both confirm. ## Common Calendar Effects Reference | Effect | Description | Reference Configuration | |------|------|---------| | Spring rally | Higher probability of gains in China A-shares from January to March | bullish_months=[1,2,3] | | Sell in May | Weaker performance from May to October | bearish_months=[5,6,7,8,9,10] | | Year-end effect | Institutional rebalancing in December | bullish_months=[11,12] | | Monday effect | Lower returns on Mondays | bearish_weekdays=[0] | | Friday effect | Higher returns on Fridays | bullish_weekdays=[4] | ## Parameters | Parameter | Default | Description | |------|--------|------| | bullish_months | [1, 2, 3, 11, 12] | Bullish months | | bearish_months | [5, 6, 7, 8, 9] | Bearish months | | use_weekday | False | Whether to enable weekday effects | | bullish_weekdays | [4] | Bullish weekdays (0=Monday, 4=Friday) | | bearish_weekdays | [0] | Bearish weekdays | ## Common Pitfalls - `pd.DatetimeIndex.month` starts from 1 (1=January) - `pd.DatetimeIndex.weekday` starts from 0 (0=Monday, 4=Friday) - Seasonal strategies are statistical regularities, not deterministic signals, so pay attention to sample size in backtests - Neutral months (neither in `bullish` nor `bearish`) should output 0 and must not be skipped ## Dependencies ```bash pip install pandas numpy ``` ## Signal Convention - `1` = long (bullish window), `-1` = short (bearish window), `0` = stand aside