A seasonality pretty much the cheapest alpha there is. You know when it happens, you hopefully know which way it goes, and usually there is some nice economic reasoning for why it occurs.
When trying to find seasonalities via some algorithms, a lot of people make the mistake of (implicitly or explicitly) assuming seasonal waves. In reality, seasonalities often occur in bursts: a funding settlement, an equities open, an option expiry, a bunch of execution algos trading at the same moment. Each of them moves price for typically a few minutes, and then nothing happens until the next time.
Astronomers solved this problem around 50 years ago. A pulsar is a periodic, potentially very narrow burst of unknown shape and unknown period, buried in noise. We're going to borrow their techniques to search for seasonalities in financial markets!
I write about quantitative trading the way it’s actually practised:
Robust models and portfolios, combining signals and strategies, understanding the assumptions behind your models.
Topics I write about include portfolio construction, market making, risk management, research methodology, and more.
If this way of thinking resonates, you’ll probably like what I publish.