Daily Commentary - Posted on Wednesday, December 21, 2011, 11:01 PM GMT +1

3 Comments


Dec Wednesday 21

Christmas Time …

With two sessions left before Christmas, it may be time to check for the markets performance during the last couple of sessions of a year.

Table I below shows all occurrences (since 1930) and the S&P 500 performance assumed one went long on close of the 3rd last business day before Christmas (like today), and back into cash on close of the last session of the year. ’next session’ and ’2 sessions later’ represent those business days immediately preceding Christmas, and ’3 sessions’ later the session immediately following the Christmas holiday.

Since 1930, the S&P 500 closed at a higher level at the end of the year 64 times, and lower only 17 times. Mean and median change are both exceeding the 1.0%+ threshold. Since 1993, the S&P 500 had always posted at least one higher close over the remainder of year, and never looked back and did not post a single close below the trigger day’s close in 9 out of those 18 years.

 
Table 1

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Conclusion(s)

I (still) expect the S&P 500 to remain firm over the remainder of the year, and turning positive year-to-date may not be ruled out …

Have a profitable week,

Frank

Disclosure: No position in the securities mentioned in this post at time of writing.

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Remarks: Due to their conceptual scope – and if not explicitly stated otherwise – , all models/setups/strategies do not account for slippage, fees and transaction costs, do not account for return on cash and/or interest on margin, do not use position sizing (e.g. Kelly, optimal f) – they’re always ‘all in‘ – , do not use leverage (e.g. leveraged ETFs), do not utilize any kind of abnormal market filter (e.g. during market phases with extremely elevated volatility), do not use intraday buy/sell stops (end-of-day prices only), and models/setups/strategies are not ‘adaptive‘ (do not adjust to the ongoing changes in market conditions like bull and bear markets). Index data (e.g. S&P 500 cash index) does not account for dividend and cash payments.

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Disclaimer

The information on this site is provided for statistical and informational purposes only. Nothing herein should be interpreted or regarded as personalized investment advice or to state or imply that past results are an indication of future performance. The author of this website is not a licensed financial advisor and will not accept liability for any loss or damage, including without limitation to, any loss of profit, which may arise directly or indirectly from use of or reliance on the content of this website(s). Under no circumstances does this information represent an advice or recommendation to buy, sell or hold any security.

I may or may not hold positions for myself, my family and/or clients in the securities mentioned here. Actions may have been taken before or after information is presented, and any opinions expressed in this site are subject to change without notice.

(Data courtesy of MetaStock and Pinnacle Data Corp., and for data import, testing, surveys and statistics I use MATLAB from MathWorks)

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Comments (3)

 

  1. t says:

    Thanks for your posts!

    I’ve been meaning to ask, when you have “next session” and “2 sessions later” are the returns for each column the return for that day or cumulative since the trigger day?

    Thanks

  2. […] already seen a strong move up from the lows. There are some very interesting stats on Santa rallies here from the excellent (and free) Trading The Odds blog, and you can see that historically we are […]

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