Yom Kippur Trading Strategy (Rules, Backtest, Python Code)
Yom Kippur is one of the most important days in the Jewish calendar. However, it is not an official holiday and the market remains open during those days. So the question is, does the market perform well during Yom Kippur? Can we develop a profitable Yom Kippur trading strategy?
The short answer is no, the stock market does not perform well during Yom Kippur. For the last 90 years returns have been negative.
We will show you what trading rules we use to backtest the strategy and the complete Python code we used.
We have previously written about Rosh Hashanah Trading Strategy, another Jewish holiday. We also remind that you find internet’s biggest library of seasonal trading strategies on this website, in addition hundreds of other robust trading strategies.
Let’s get to it:
What Is Yom Kippur?
Yom Kippur, often referred to as the Day of Atonement, is one of the most significant and solemn holidays in the Jewish calendar.
It is observed on the 10th day of the Hebrew month of Tishrei, usually in September or October, following the Jewish New Year, Rosh Hashanah. Yom Kippur is considered the holiest day in Judaism.
The observance of Yom Kippur involves a day of fasting, prayer, repentance, and seeking forgiveness.
Overall, Yom Kippur is a time of deep spiritual reflection, repentance, and seeking forgiveness, emphasizing the importance of personal and communal accountability in the Jewish faith.
But does this seasonality have an impact on the market?
Yom Kippur Trading Strategy – Backtest
The trading rules are simple: We buy and hold when it is Yom Kippur.
Yom Kippur starts in the afternoon of one day and ends on the afternoon of the following day. Because of that, and for simplicity reasons, the strategy we are backtesting holds the SPX both full days.
We started the backtest back in 1927, and the data is not adjusted for dividends and splits. Here is the compounded equity curve of the strategy:
The equity curve looks pretty bad, thus there not much money to be made during Yom Kippur. There were 96 Yom Kippurs within this timeframe, but due to some occurring on weekends, the strategy was invested for only 132 days all in all.
The total return was -11.56%, and the average daily return for when the strategy was invested was -0.08%.
Yom Kippur Trading Strategy – Conclusion
To sum up, today you learned how the stock market perform during Yom Kippur.
As you saw, it is not good and there seems that there isn’t any anomaly during this holiday.
Yom Kippur Trading Strategy – Python Code
For your convenience, we have provided the full code for the backtest we did in this article:
