Last Updated on June 19, 2022 by Quantified Trading
Are there any daily seasonalities in the S&P 500? I did some research into SPY, an ETF based on the S&P 500 components and a very good proxy, based average return on which day of the month.
To get a sufficient number of data I started back in 2005. Here are the results:
|Average gain||Average gain||Average gain||Average 5 days||Average 5 days||Average 5 days|
|close to||close||open to||close to||Close||Open to|
|close||to open||close||close||to open||close|
The first column is the day: 1 is the 1st of the month.
For example, the 13th is the 13th of January. “Close to close” is the average from the previous days close to today’s close. For example, The 1st is the gain from the previous day until the close of the 1st.
“Close to open” is the average gain from yesterday’s close to today’s open.
“Open to close” is the average gain intraday from open to the close. The three columns called “average” is simply the average of the 5 days prior to the row.
There are two main patterns that have held up remarkably well over the years: The best days tend to cluster around the end and the beginning of each month.
Of course, this is a very crude analysis, but later I’ll show some potential strategies based on this.
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