Last Updated on June 11, 2021 by Oddmund Groette
We are now entering one of the (historically) strongest periods of the stock market: the last days of the year plus the first days of the next year.
Back in December 2013, Jay Kaeppel wrote about this effect:
The end of year strategy:
The strategy is pretty simple:
The last four days of December and the first three days of January have proved to produce returns significantly higher than the rest of the year.
How has this strategy performed? Below is the equity chart of the S&P 500 from 1960 until January 2020:
The strategy has produced 0.79% per trade, the win-ratio is 68%, and the average winner and loser are about 2.1% (-2.1% for the losers, of course).
The performance was recently weak with three losing years in a row: 2013/14, 2014/15, and 2015/16.
The code for Amibroker looks like this (this is a strategy that can be coded in many different ways):
Buy= Month()==12 AND Ref(Month(),3)!=Ref(Month(),4);
A somewhat similar seasonality exists on the exchange of Oslo:
If you find this article interesting, we have many more strategies on this page:
Disclosure: We are not financial advisors. Please do your own due diligence and investment research or consult a financial professional. All articles are our opinions – they are not suggestions to buy or sell any securities.