New Strategy Bundle: Trading The Holidays In The Stock Market

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

    • George Washington/Presidents’ Day in February (included in Monthly Trading Edges)

    • Valentine’s Day

    • Easter holiday

    • Memorial Day

    • Independence Day

    • Labor Day

    • Thanksgiving

    • Christmas



The code can be downloaded here (after purchase).

That gives eight 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 242 potential holiday trades in SPY since its inception in 1993. The equity curve looks like this:

There are 242 trades, the average gain per trade is 0.62%, the average holding time is 4 days, the time spent in the market is 11%, profit factor is 3, and max drawdown is 9%.



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 of those three orignal strategies (without the holiday trades):

What happens to our equity if we add the Holiday Bundle to the three strategies?

The few holiday trades make your compounding more efficient (15.1% vs. 13.2%). It might not sound much, but a 1.9% difference adds up over time!



Last Updated on April 18, 2023

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