An Early Look at Thanksgiving

11Nov10

I’ll be away through the end of the month, so this is an early look at how the market has fared around turkey day. Unlike most other holidays, seasonality around Thanksgiving has been strong (and thus important to short-term traders like us).

Just the Numbers

From 1950, the market has on average been bullish the day before and after Thanksgiving, and bearish 2-days after.

But readers know I hate just looking at averages because they don’t tell us how consistent observations have been or whether they’re waxing or waning, so in the following chart I’ve assumed a trader was only long the S&P 500 the day before (green), after (blue), or two days after (red) Thanksgiving (from the previous close), versus the average day each year (grey), since 1950.

[logarithmically-scaled, growth of $1]

The chart shows that the bullish/bearish biases we saw in the numbers have been consistent over the last 60 years, especially strength the day before (green) and after (blue) Thanksgiving.

Before 1950

I began this test in 1950, because prior to that, Thanksgiving seasonality behaved very differently. In the graph below I’ve rerun our test back to 1930.

[logarithmically-scaled, growth of $1]

I mention this for the sake of completeness, but I don’t think how the market behaved prior to the 1950’s invalidates this “new” Thanksgiving seasonality.

In Summary

Over the last 60 years, the days before and after Thanksgiving have tended to be bullish, and 2-days after to be bearish.

These observations, along with seasonality predictions for every other day of the month, are included on the November Seasonality Map.

Happy Trading,
ms

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Filed under: Time-based   |  4 Comments