The November Drift: A Structured Long Campaign on the FTSE MIB
- Sagar Chaudhary
- Oct 22
- 10 min read
By Sagar Chaudhary for Seasonality® players
Symbol | Instrument | Best Correlation (Lookback) | Direction | Win Rate % | Avg Return % |
G.MI | Assicurazioni Generali S.p.A. | 76.25% [30y] | LONG | 56.70% | 6.20% |
AZM.MI | Azimut Holding S.p.A. | 70.51% [20y] | LONG | 50.00% | 12.40% |
BPE.MI | BPER Banca SpA | 83.88% [5y] | LONG | 80.00% | 15.50% |
BMPS.MI | Banca Monte dei Paschi di Siena S.p.A. | 84.05% [3y] | LONG | 66.70% | 21.30% |
BPSO.MI | Banca Popolare di Sondrio S.p.A | 92.80% [3y] | LONG | 100.00% | 10.50% |
BAMI.MI | Banco BPM S.p.A. | 87.43% [7y] | LONG | 71.40% | 11% |
BC.MI | Brunello Cucinelli S.p.A. | 73.46% [7y] | LONG | 71.40% | 11.30% |
BZU.MI | Buzzi Unicem S.p.A | 39.25% [1y] | LONG | 100.00% | 18.60% |
DIA.MI | DiaSorin S.p.A. | 92.76% [10y] | LONG | 100.00% | 3.50% |
RACE.MI | Ferrari N.V. | 71.21% [7y] | LONG | 71.40% | 13.90% |
FBK.MI | FinecoBank Banca Fineco S.p.A. | 56.65% [10y] | LONG | 80.00% | 9.80% |
INW.MI | Infrastrutture Wireless Italiane S.p.A. | 59.27% [1y] | LONG | 70.00% | 6.90% |
IP.MI | Interpump Group S.p.A. | 69.06% [7y] | LONG | 71.40% | 7.40% |
PST.MI | Poste Italiane S.p.A. | 85.18% [5y] | LONG | 71.40% | 7.90% |
REC.MI | Recordati Industria Chimica e Farmaceutica S.p.A. | 74.95% [30y] | LONG | 56.70% | 6.90% |
STM.MI | STMicroelectronics N.V. | 18.75% [10y] | LONG | 70.00% | 15.80% |
SPM.MI | Saipem SpA | 74.86% [1y] | LONG | 100.00% | 12.60% |
SRG.MI | Snam S.p.A. | 60.49% [15y] | LONG | 53.30% | 5.40% |
STLAM.MI | Stellantis N.V. | 57.89% [20y] | LONG | 65.00% | 10.70% |
TEN.MI | Tenaris S.A. | 62.69% [15y] | LONG | 73.30% | 10.40% |
TRN.MI | Terna - Rete Elettrica Nazionale Società per Azioni | 58.59% [15y] | LONG | 53.30% | 6.20% |
UNI.MI | Unipol Gruppo S.p.A. | 75.17% [5y] | LONG | 60.00% | 12.10% |
The table here shared ranks FTSE MIB constituents for a 1-month, long-only seasonal window from October 22 to November 20. Columns to note:-
Best Correlation (and lookback window): how strongly this Oct-Nov window has lined up with historical price behavior for that stock over the stated years. Higher is better; longer lookbacks usually inspire more trust.
Direction: all rows here are LONG.
Win Rate %: historical percentage of years this window closed higher than it opened.
Avg Return %: the average gain during the window.
Open/Close dates: the fixed seasonal entry and exit used to compute the stats (Oct 22 → Nov 20).
The list is sorted Best to Worst by seasonal quality. Several stocks stand out with high correlation, solid win rates, and double-digit average returns. Others look enticing on returns but come with short lookbacks (e.g., 1-5 years) or thin reliability, which deserves caution.
My goal below is to turn this table into a tradeable plan, complete with tiers, sizing, filters, risk, and calendar cautions—so you can execute efficiently without overfitting to any one metric.
How to read the grid (and avoid the traps)
Before stock-by-stock notes, five rules:
Correlation + Lookback > Raw Return.
A 90% correlation over 10 years with 8–10% average return is better than an 18% average return with only a 1-year “history.” Treat ultra-short lookbacks as exploratory.
Win Rate matters for stress.
Two names with the same average gain: the one with 70–85% wins will usually be easier to hold through noise than one with 50–55% wins.
Clustering risk is real.
The table shows many financials (BPER, BMPS, Banco BPM, Fineco, Poste, etc.). If you buy too many of the same factor (Italian banks + BTP/Bund spread sensitivity), your portfolio becomes one macro bet.
Event overlay beats blind seasonality.
If earnings, ex-div, or guidance lands inside the window, respect the day-0 and day-1 volatility. Seasonality is a tailwind, not a shield.
Use a simple confirmation filter.
Seasonality works best when price action is not fighting you. A minimal filter (price above 20- and 50-DMA, ADX > ~18, weekly RSI > 50) reduces false starts without killing the edge.
Tiered conviction list
I break the basket into four tiers. Allocation guidance appears later.
Tier A — High-Conviction Longs (quality breadth: strong correlation, decent lookback, dependable wins)
DIA.MI — DiaSorin
Why it’s special: extremely high Best Correlation (c. 93%) over ~10y with a 100% win rate in the window and ~10% average return. Defensive healthcare name with relatively idiosyncratic drivers (diagnostics), often less tied to Italian macro.
Plan: core position. Enter around the open-date ±2 sessions if broader market does not gap against you. Trail on the 20-DMA or a 2× ATR(14) stop.
RACE.MI — Ferrari
Why: strong ~71% correlation (7y), ~71% win rate, and ~14% avg return. Quality luxury cyclicality with structural momentum; tends to trend cleanly when risk appetite is stable.
Plan: treat as a higher-beta core. Because the average return is high, expect ATR to be large; risk with smaller size but let it run.
TEN.MI — Tenaris
Why: ~63% correlation (20y) with ~73% wins and ~10% average return. Energy/services exposure; often benefits if crude stays firm into winter demand.
Plan: volatility-aware sizing (energy can swing). Use previous swing-low or 2.5× ATR(14) for stops.
STLA.MI — Stellantis
Why: ~58% correlation (20y), ~65% win rate, ~10–11% average return. Auto cyclical; sensitive to euro, US demand and inventory cycles.
Plan: prefer when ADX > 20 and price above 50-DMA. If euro spikes sharply, reduce size.
UNI.MI — Unipol
Why: ~75% correlation (5y), ~60% win rate, ~12% average return. Insurance exposure with solid drift in this window.
Plan: medium size; partial profit if +8–10% appears early, then let a runner ride to Nov 20.
Rationale: This tier mixes defensive health care (DIA), quality cyclicals (RACE, STLA), energy (TEN), and insurance (UNI)—a balanced group with strong historical drift and a diversity of macro drivers.
Tier B — Reliable but Clustered (good stats; watch sector concentration)
PST.MI — Poste Italiane
~85% correlation (5y), ~86% win rate, ~8% average. Hybrid of financials & services; often trends with domestic growth sentiment.
BPE.MI — BPER Banca
~83% correlation (5y), ~80% win rate. Average returns solid mid-single to high-single digits.
BAMI.MI — Banco BPM
~87% correlation (7y), ~71% wins, ~11% avg.
BMPS.MI — Banca Monte dei Paschi
~85% correlation, ~67% wins, but high average return (double-digits). More volatile; treat as a trader.
FBK.MI — FinecoBank
~57% correlation (10y), ~80% wins, ~10% avg. The unusually high win rate offsets a moderate correlation; risk-manage earnings.
Rationale: The bank cluster looks strong for this window, but don’t buy them all. Cap financials at 35–40% of portfolio because their tail risk is correlated (rates, spreads, policy headlines).
Tier C — Quality Defensives / Utilities (moderate returns; stabilizers)
REC.MI — Recordati
~75% correlation (30y), ~67% wins, ~6–7% avg. Defensive pharma; smooths portfolio volatility.
SRG.MI — Snam
~60% correlation (15y), ~53% wins, ~5% avg. Gas infrastructure; carries dividend cadence and rate sensitivity.
TRN.MI — Terna
~59% correlation (15y), ~53% wins, ~6% avg. Grid operator; defensive ballast.
Rationale: These won’t usually lead the performance league table, but they reduce drawdown when cyclicals wobble. Keep 1–2 names as ballast.
Tier D — Treat with Caution (short lookback or odd signals)
BZU.MI — Buzzi Unicem
Stats show 100% wins and ~19% avg return, but lookback is only ~1 year. That’s not evidence—just a single observation. Log as watch-only unless price action is exceptional.
STM.MI — STMicroelectronics
Table shows low/negative correlation (~−19% 10y) even though the 1-month average return printed well (mid-teens). That mismatch implies unstable seasonality driven by event risk (chip cycle, guidance, US semis beta). Only consider on strong momentum confirmation.
AZM.MI — Azimut, G.MI — Generali, BC.MI — Brunello Cucinelli, DIA.MI we already covered, Saipem (SPM.MI), Interpump (IP.MI) etc.
Many have decent returns but mid-pack win rates or shorter, mixed lookbacks. They can be adds once the core basket is in profit.
Portfolio blueprint (position sizing & risk)
Let’s convert tiers into an allocation template. Adjust to your equity and risk appetite.
Risk budget: 1R = 1% of account equity per position if stops are tight; 0.5% for higher-beta names (RACE, TEN, BMPS).
Number of positions: 8–12 is ideal for this 1-month sprint.
Allocation by Tier (guideline):
Tier A: 4–5 names, ~55–60% of capital.
Tier B: 3–4 names, ~25–30% (limit banks to 2–3 tickers max).
Tier C: 1–2 names, ~10–15%.
Tier D / Optional adds: opportunistic, ≤10% total.
Stops & exits:
Initial stop: below recent swing-low or 2× ATR(14) (defensives can use 1.5× ATR).
Trail: ratchet to 20-DMA once open profit > +1× ATR.
Hard exit: Nov 20 close as per seasonality, or earlier on a close below 50-DMA and ADX roll-over < 15.
Partial profit rule: Take 30–40% off when a name prints +8–10% ahead of schedule; redeploy into Tier B/C names that are still basing.
Cluster caps:
Financials ≤ 40%
Autos + Ferrari ≤ 25%
Energy/services ≤ 20%
A simple confirmation framework
Use two quick filters before pulling the trigger:
Trend health (daily):
Price above 20-DMA and 50-DMA.
ADX(14) > 18 (if 12–18, size down; if >25, trend is strong—use smaller stops).
RSI(14) > 50 and ideally rising.
Relative strength vs FTSE MIB:
Plot Stock / FTSEMIB ratio. If the ratio is above its 50-DMA and making higher highs, the stock is leading. Favor leaders early in the window.
These filters prune the weakest seasonal candidates and reduce regret.
Event calendar & “don’t get blindsided” checklist
Earnings / Guidance: Many Italian names report Q3 between late-Oct and mid-Nov. If your name reports:
Cut size by half before earnings unless you have a cushion.
If a gap favors you (+5–8%), lock partial and restore size on a clean post-earnings drift day.
If a gap hits stops, respect it—don’t “average down” during a 1-month campaign.
Ex-dividends: Utilities (SRG, TRN) and some financials may have distributions. Adjust expectations for price drop on ex-date; the total return still respects the drift, but your chart will show a gap.
Macro prints: ECB commentary, Italian budget headlines, BTP/Bund spread moves can swing banks/insurance simultaneously. Keep a hedge toggle (see below).
Optional hedge: index overlay
If you deploy many cyclicals, consider keeping a small FTSE MIB short (e.g., futures or inverse ETF, if available) sized at 10–20% of long gross. This reduces market beta and lets idiosyncratic alpha from the picks carry the P&L. Turn the hedge off during clear up-drifts (ADX rising on index; breadth > 60%) and on into macro event clusters.
Stock-by-stock quick notes
Below are succinct comments to help you prioritize entries and understand the likely “personality” during the window.
DIA.MI (DiaSorin): Model student for seasonality. If the first 3–5 sessions are flat or slightly red but RSI holds > 50, that’s often a buy-the-dip in this window. Let the system work.
RACE.MI (Ferrari): Loves trend. Breakout-pullback sequences are typical. Use previous day’s low as an intraday guardrail; if ATR expands, downgrade size rather than loosening stops.
TEN.MI (Tenaris): Momentum is frequently step-wise (consolidate → burst). Look for inside days that break up with rising volume. Don’t chase gaps; buy retests.
STLA.MI (Stellantis): Sensitive to US auto prints and EUR/USD. If euro spikes, STLA may lag temporarily—those are your controlled adds, provided the 50-DMA holds.
UNI.MI (Unipol): Trending insurer. Respect weekly swing structure—a higher-low on weekly often preludes a clean monthly drift.
PST.MI (Poste): Hybrid factor exposure (financial + services). If banks surge too hot, PST can lag then catch up in second half of the window. Good mid-campaign add.
BPE.MI / BAMI.MI / BMPS.MI / FBK.MI (Banks): Don’t hold all four. Pick two: one higher-beta (BMPS/BAMI) and one steadier (BPE/FBK). Watch BTP/Bund spread; if it widens fast, tighten stops.
REC.MI (Recordati): Smooth defensive. Good for rebalancing when cyclicals extend too far.
**SRG.MI (Snam) & TRN.MI (Terna): Treat as ballast—they may not run, but they should bleed less on risk-off days. Keep expectations modest.
AZM.MI (Azimut): Mid-pack reliability but occasionally sharp upside bursts early in the window. If you miss the first move, wait for a 3–5 day pullback to the 20-DMA.
SPM.MI (Saipem): Energy beta with project news risk. Use half size and faster trailing stops.
IP.MI (Interpump): Industrial leader with respectable win rate and mid-single-digit drift. Works best with index breadth behind it.
BZU.MI (Buzzi Unicem): One-year data is not a signal. Keep on a watchlist, trade only if it lines up with price + breadth.
STM.MI (STMicro): Seasonality is noisy here. Only trade with momentum; skip the seasonal entry if RSI < 50 or price is below the 50-DMA.
Entry tactics (practical)
You don’t have to fire everything on Oct 22. Use a 3-leg ladder:
T-0 (Oct 22 ± 1–2 days): initiate 30–40% of intended size in Tier A names that already pass filters.
First pullback: add 30% on a 2–4 day dip that holds the 20-DMA or prior breakout zone.
Confirmation add: final 30–40% on RSI break > 60 or ADX uptick with volume.
This reduces entry variance and keeps capital ready to reward leaders.
Exit tactics (discipline)
Fixed seasonal exit: Close all remaining positions Nov 20 (session close). That’s the research window.
Early exit triggers:
Two consecutive wide-range down days on above-average volume without immediate recovery.
“Good news, no up-move” on earnings—classic distribution tell.
Rolling stops for strong runners:
Switch to Chandelier Exit (22, 3×ATR) once open profit > +1.5× ATR.
For utilities/defensives, a 20-DMA close stop is often enough.
Putting it together — a sample 10-stock basket
Here’s a concrete, balanced lineup you can adapt:
Core (Tier A): DIA.MI, RACE.MI, TEN.MI, STLA.MI, UNI.MI
Selective Financials (Tier B): BPE.MI or FBK.MI, plus one of BAMI.MI/BMPS.MI, and PST.MI
Defensive ballast (Tier C): REC.MI or SRG.MI (pick one), TRN.MI (optional if you skipped REC/SRG)
Opportunistic (Tier D / mid-campaign): AZM.MI or IP.MI if they trigger a clean breakout with RSI > 55
That’s 8–10 names without over-loading any single factor. Add a light index hedge on macro event weeks.
What could go wrong (and how we’ll respond)
Macro shock hits Italy/Eurozone.
Action: Cut beta first (BMPS/BAMI/STLA), keep DIA/REC longer. Increase hedge to 20–25% gross.
Banks surge early then roll over.
Action: Lock partial profits into strength, rotate into PST/REC/TRN to preserve the equity curve.
Energy reversal dents TEN/SPM.
Action: Respect stops; don’t let a commodity-beta name turn a campaign into a drawdown. Reallocate to DIA/UNI if their drift holds.
STM/Ferrari gap risk on earnings.
Action: Halve positions into prints; re-add only after a constructive day-2 reaction.
Daily routine (30-minute template)
Pre-open (10 min): check overnight futures, sector news, and your event calendar.
After first hour (10 min): scan for leaders (stocks printing new 5–10 day highs on volume). Add to leaders, not laggards.
Close (10 min): update stops (20-DMA / ATR), book partials on +8–10% movers, and journal observations (breadth, RS lines, where you felt hesitation).
Consistency turns the seasonal edge into money.
Interpretation
The dates (Oct 22 → Nov 20) are the “anchor.” Your task is to execute around them with the least friction.
Correlation is the scaffolding; price is the truth. If a high-correlation name trades below 50-DMA with RSI < 45, skip it and concentrate on the ones that comply.
Short lookbacks (1–3y) are not “bad,” they are just low-confidence. You can always trade them as half-size satellites following a clean breakout.
The FTSE MIB seasonal window we’re targeting has multiple, diverse candidates—from DiaSorin’s defensive persistence to Ferrari’s quality momentum and Tenaris’s cyclical push—plus a strong bank cohort that can juice returns if macro winds are calm. The key is portfolio construction: spread exposures, avoid over-concentration, and trade the leaders while cutting laggards fast. If you follow the tiering, filters, and sizing rules above—and respect the hard seasonal exit on November 20—you’ll harness the historical tailwind without becoming a hostage to it. That’s the Seasonality® Wisdom approach: structure > prediction. Trade well, keep records, and let the data do the heavy lifting.
Comments