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u/Neat_Helicopter_968 2 days ago Strategy

I gave seasonality the most weight in my model because it sounded smart. it earned about half of it

when i built my pre market scan i weighted seasonality heavily. everyone talks about it, there's a chart for every month and every day of the week, it felt like the kind of edge that's sitting there in plain sight and most people ignore. after 60 days of actually scoring my own calls it's the input i trust least. quick context so this makes sense. i run a scan before the bell that pulls positioning, liquidity levels, seasonality for that specific day, and the calendar. it gives me one directional lean on NQ, ES and GC with a level where the lean is dead. every call gets logged in the morning and scored at the close, and scored means the close finished on the side of the lean, nothing about whether a trade off it made money. when i went back and looked at which drivers were actually behind the good calls, seasonality kept showing up on the wrong side. not randomly wrong, which would be fine. wrong in a specific way. it was right on quiet days and wrong on the days that mattered. any session where the calendar had something real in it, seasonality was just noise sitting in my model adding confidence to a lean it hadn't earned. and those are exactly the days with the range worth trading. so the input was helping me most on days i shouldn't be sizing up and hurting me most on days i should. which in hindsight is obvious. seasonality is an average of a bunch of years where each of those years had its own reason for moving. cpi didn't care that the second week of march is historically bullish. the calendar was the opposite. it barely feels like an edge because everyone can see the same schedule, but weighting it properly did more for my hit rate than anything else i changed. positioning was second. i'm not saying throw seasonality out. i still have it in there, just with a much smaller say, and it gets muted entirely on days with real data. what changed my mind wasn't a theory, it was that i finally had 76 scored calls to look at instead of a feeling. the broader thing i took from this: i weighted my inputs by how clever they felt, not by how they performed. i'd guess most people building any kind of systematic process do the same thing and never check, because checking means finding out the smart sounding part of your model is dead weight. now i'm rebuilding it so the log sets the weights. if a driver hasn't earned its place over the last 60 days it gets less say next month. curious if anyone else has gone back and scored their individual inputs separately rather than the system as a whole. i suspect a lot of models are carrying one component that does all the work and three that are along for the ride.
13 comments held Reddit says 13 on reddit ↗
  1. u/golden_bear_2016 1 2 days ago
    so u gambling, got it
  2. u/NuclearVII 6 2 days ago
    AI slop that is hiding about being AI slop.
  3. u/Neat_Helicopter_968 OP 1 1 day ago
    the scan isn't ai XD
  4. u/[deleted] 1 2 days ago

    [removed] — already gone when the archive first saw it

  5. u/arbitrageME 0 2 days ago
    You "gave" seasonality half the weight? Don't models learn this kind of thing? Why do you have to manually write it in?
  6. u/jrbp 2 2 days ago
    Only models that are designed to learn will learn lol
  7. u/arbitrageME 1 2 days ago
    The other "models" post about it on Reddit
  8. u/Neat_Helicopter_968 OP 1 1 day ago
    fair, i worded that badly. it's not a learned model, it's a scoring sheet i wrote by hand. each driver has a weight i picked and the output is just a weighted lean. so yeah, the weights are mine and that's exactly the weakness i was writing about. with 76 days of data fitting weights properly would just be curve fitting a tiny sample, so for now it's judgement plus a rule that anything not earning its keep gets muted. not claiming that's elegant.
  9. u/drguid 1 2 days ago
    I put RSI in my model but it was doing too much of the work. So I took it out again. I have seasonality in mine but it's not a major factor. Gemini told me to take it out because dates can lead to the model curve fitting. My current model has 44 features. I've tried and failed to improve on it. It is perfection.
  10. u/Neat_Helicopter_968 OP 1 1 day ago
    44 features and perfection, respect. that's the dream.
  11. u/xdevilmaster 1 1 day ago
    Trading quantity for quality. Have it as one of the trading bots running, and have another that trades all year round
  12. u/Neat_Helicopter_968 OP 1 1 day ago
    that's a decent way to split it. running the whole year gives you the sample and the selective one gives you the sizing.
  13. u/Bonkers24-7 1 21 hours ago
    This is a good example of why I wouldn’t trust a model weight just because it sounds logical. The useful test is not “did seasonality help sometimes?” It’s “did it change the right decisions?” If it was right on quiet days but wrong on the days with real opportunity, then it should probably be a small context input, not a major driver. I’d probably score each input by counterfactual impact: what trades changed because of this input? did those changed trades improve expectancy? did it improve sizing or only add confidence? did it help in high-volatility days or mostly quiet days? did removing it make the model simpler without hurting results? A lot of models probably have one real driver and several inputs that just make the logic feel more complete.