SPX Seasonality You Can Play With

Includes: DIA, SPY
by: Paulo Santos

As we approach the end of the year, it’s not rare to see articles on seasonality. Indeed, the period we are in is usually seasonally positive. But we want to go a step further here, and provide something new, that won’t be useful just for today, but you might well want to bookmark it and come back later as well.

So, what you see here is a seasonality analysis that takes S&P 500 data from the start of 1950 right up to November 23rd 2011. It then gives you the average daily change for each period, and the % of sessions that were positive in each period.

This allows you to have an idea about many different seasonal edges in the market, like how the market has a slight tendency to go up in the first and last days of the month, how it has a tendency to go up in November and December (and there’s also a slight positive bias to January, as well).

It also allows you to dive a bit deeper. You can select specific periods just by clicking on them, for instance if you click on “January”, every other board will reflect your choice, so you end up knowing how the market usually did in January in all those years, on Mondays and other weekdays in January, and throughout the month. The possibilities using this tool are almost endless.

So, what kind of conclusions might one draw from a few analyses? Quite a few, from the obvious, like the market going up more often in November and December, to others a bit less well known, like the positive bias around Thanksgiving (though that one is surely failing this year), some so obscure that only show up if you dig a little, like if you click on December, you can get to know that the day after Christmas has a strong likelihood of ending up positive.

Hope you enjoy the tool and never again have to wonder what the seasonality is for the particular period you are in.

Also, if you find interesting patterns, you can leave them in the comments.

Disclosure: I have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.