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Indeks S&P 500

Santa Claus Rally — Does It Still Work?

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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:

  • 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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cyclestudiesEconomic CyclessantasantaclaussantaclausesantaclausrallyseasonSeasonalityseasonality-tradingseasonsTrend Analysis

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cyclestudiesEconomic CyclessantasantaclaussantaclausesantaclausrallyseasonSeasonalityseasonality-tradingseasonsTrend Analysis
QuantNomad
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:
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Juga pada:

Penafian

Maklumat dan penerbitan adalah tidak bertujuan, dan tidak membentuk, nasihat atau cadangan kewangan, pelaburan, dagangan atau jenis lain yang diberikan atau disahkan oleh TradingView. Baca lebih dalam Terma Penggunaan.