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.
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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
Pernyataan Penyangkalan
Informasi dan publikasi ini tidak dimaksudkan, dan bukan merupakan, saran atau rekomendasi keuangan, investasi, trading, atau jenis lainnya yang diberikan atau didukung oleh TradingView. Baca selengkapnya di Ketentuan Penggunaan.