The Santa Claus Rally is a well-known seasonal effect.
Looking at the last 25 years, the S&P 500 shows an average gain of ~0.54% over the 5 business days starting on December 29.
However, the effect weakens significantly in recent periods:
This suggests the Santa Rally has deteriorated over time. What used to be a strong seasonal tendency now appears less reliable, especially in modern market regimes.
Seasonality provides useful historical context, but it should not be used as a standalone trading signal.
Looking at the last 25 years, the S&P 500 shows an average gain of ~0.54% over the 5 business days starting on December 29.
However, the effect weakens significantly in recent periods:
- Last 10 years: ~0.27%, already close to the average weekly P&L of the S&P 500
- Last 5 years: ~-0.22%
This suggests the Santa Rally has deteriorated over time. What used to be a strong seasonal tendency now appears less reliable, especially in modern market regimes.
Seasonality provides useful historical context, but it should not be used as a standalone trading signal.
Quant Developer | Pine Script v6 | Python & R
12+ yrs system. trading, hedge fund experience
Indicators, strategies & screeners
Futures & options
💼 Hire/Consulting:
qntly.com/hire
🎓 Pine Code With AI:
qntly.com/pineai
12+ yrs system. trading, hedge fund experience
Indicators, strategies & screeners
Futures & options
💼 Hire/Consulting:
qntly.com/hire
🎓 Pine Code With AI:
qntly.com/pineai
Exención de responsabilidad
La información y las publicaciones no constituyen, ni deben considerarse como, asesoramiento o recomendaciones financieras, de inversión, de trading u otro tipo, proporcionadas o respaldadas por TradingView. Obtenga más información en Condiciones de uso.
Quant Developer | Pine Script v6 | Python & R
12+ yrs system. trading, hedge fund experience
Indicators, strategies & screeners
Futures & options
💼 Hire/Consulting:
qntly.com/hire
🎓 Pine Code With AI:
qntly.com/pineai
12+ yrs system. trading, hedge fund experience
Indicators, strategies & screeners
Futures & options
💼 Hire/Consulting:
qntly.com/hire
🎓 Pine Code With AI:
qntly.com/pineai
Exención de responsabilidad
La información y las publicaciones no constituyen, ni deben considerarse como, asesoramiento o recomendaciones financieras, de inversión, de trading u otro tipo, proporcionadas o respaldadas por TradingView. Obtenga más información en Condiciones de uso.