A high-quality top-down photo used as a banner for "The Best Calendar Days Of The Year To Trade Stocks."

The Best Calendar Days Of The Year To Trade Stocks (Statistics, Data Analysis)

ByOddmund Groette Seasonal trading strategies

We did a backtest where we optimized the month and calendar day to find the best calendar days for the S&P 500.

Key Takeaways

  • Backtest identifies best calendar trading days
  • Strategy uses overnight close-to-close trades
  • Calendar days differ from trading days
  • October calendar day 10 performs best
  • Average overnight gain reaches about 1%
  • Strong bias from October through April
  • Seasonality significantly affects short-term returns
A detailed financial infographic titled "Best Calendar Days to Trade S&P 500."
This data summary from Best Calendar Days to Trade SP 500.jpg identifies the specific dates and months that have historically produced the highest returns for S&P 500 traders.

We backtested the result by entering at the close of calendar day N and selling at the close the next day. In other words, this is an overnight trade.

The table below contains the results.

Row one says that calendar day 10 in October is the best with an average gain of 1% from the close of calendar day 10 to the next calendar day.

The results are biased toward the strongest period for stocks: from October to the end of April:

A comprehensive statistical data table titled "Best Calendar Days Stocks.png" displaying a list of the most profitable trading dates.
This statistical breakdown from Best Calendar Days Stocks.png ranks the specific dates of the year by their historical profit factor and average returns.

FAQ:

What does the backtest on calendar days for the S&P 500 involve?

The backtest on calendar days for the S&P 500 involves optimizing the month and calendar day to identify the best-performing calendar days for trading. The strategy enters the market at the close of a specific calendar day and exits at the close the following day, making it an overnight trade.

How was the backtest conducted, and what were the optimization parameters?

The backtest was conducted by optimizing the month and calendar day. This process involved testing various combinations to determine the most favorable calendar days for trading the S&P 500. The optimization aimed to find patterns and trends in specific timeframes.

What are the key results of the backtest, and how are they presented in the table?

The key results of the backtest are presented in a table. Each row of the table represents a specific calendar day, and the data includes the average gain from entering at the close of that day to the next calendar day. For example, if row one indicates that calendar day 10 in October is the best, it means an average gain of 1% from the close of day 10 to the close of the next calendar day.

I’ve got an Msc from Heriot-Watt University, Edinburgh (1996), in addition a to a business administration degree the Norwegian School of Management (BI – 1994). Did my mandatory military service in between.

After university, I worked two years as an auditor (1996-1998).

I co-founded Aksjeforum.com in 1998/99 - one of the first websites about trading and investing in Norway. It was later acquired by Digi.no in 2001.

I have written 4 books about trading (in Norwegian). One of them has sold 30,000 copies, a record for a financial book in Norway.

From 2001 until 2018 full-time independent prop trader (Series 7 in 2001) and investor.

2018-today: Investor, writer, analyst.

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