Trade All the Holidays Effects on the Stock Market With this Bundle

Trade All the Holidays Effects on the Stock Market With this Bundle

We have covered the holiday seasons in many articles. In the stock market, these offer great trading opportunities.

Buy and sell orders are backtested using the closing price (how to trade at the close – or alternative entries). No commissions and slippage included (estimated commissions and slippage).

We have compiled a package that trades around all US holidays (the strategies are based on S&P 500 and the backtests below are done on SPY):

    • Valentine’s Day (bonus)

    • Easter holiday

    • Independence Day

    • Thanksgiving

    • Christmas

 

 

The code can be downloaded here (after purchase).

That gives four trading opportunities that have (usually) uncorrelated returns to any stock market mean reversion strategy. Thus, such systems might contribute a lot to the compounding effect (if they perform just as well in the future):

Trading and investing aim to get the snowball rolling (compounding). Thus, small gains from a few holiday trades add up over the long term! The reason is simple: even small profits multiply over time.

Our backtests reveal that there have been 122 potential holiday trades in SPY since its inception in 1993. The equity curve looks like this:

 

There are 122 trades, the average gain per trade is 0.78%, the average holding time is 5 days, the time spent in the market is 7%, profit factor is 3, and max drawdown is 8%.

 

 

The holiday bundle added to other strategies

Let’s see what happens if we add the holiday trades to the three strategies we offer in Strategy Bundle 1 (three beginner strategies in SPY (ES)).

First, let’s investigate the equity curve for SPY since its inception in 1993 when we backtest bundle 1 (without the holiday trades):

Let’s include the four holiday trades in strategy bundle 1 and find out what happens to the equity:

The few holiday trades make the compounding more efficient (14.1% vs. 12.5%). It might not sound much, but a 1.6% difference adds up over time!

 

 

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