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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How did you get across this in the first place? Time anomalies have been arbitraged away across all instruments to the extent that nobody even bother to check it any longer. You would have the absolutely trading friction to squeeze these anomalies out of the market with a gain.
Yeah I don't think it is tradable, but its still an interesting effect. I first noticed it when doing some research on seasonality effects on futures more generally in ~2016 so it has nearly five years out of sample since then!
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Thanks. I have seen many seasonality effects in commodity futures in data from the 1960s and 1970s. It was so much easier back then. To your question. Given that Wed is the middle curve it could be a weekly construction resource planning phenomenon.
Thanks. Twitter will use this to make your timeline better. UndoUndo
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