Since lumber is in the news, seems like a good time to revisit one of my favorite trading anomalies -- front month lumber futures returns by day of week.pic.twitter.com/SMrBU50voy
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Um I can’t really do that, but essentially I made a Tx5 matrix of 0/1 where each column has 1s for a particular day of the week, multiplied by a Tx1 column of daily returns, and plotted the cumulative sum.
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The hard bit is probably creating the Tx1 column of front month futures returns to begin with but any decent futures data set will do this for you (eg you can export this as a time series from Bloomberg or Refinitiv)
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The hard bit is getting the data. Story of my life ha!
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