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
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.