Day of Month Seasonality for November
A topic recently on me noggin has been day-of-month seasonality (read more, more, and more). Using a simple walk-forward test to minimize hindsight bias, I showed that trading the days of the month that have been strong historically has consistently led to much stronger returns in the future. That’s as true today as it was in 1950.
The “strategy” would have been uber effective in October, with the S&P 500 closing up on 64% of qualifying days, versus just 33% of non-qualifying days.
Below is the DOM seasonality calendar for next month, broken out by quartiles (read why), with quartile 1 indicating the strongest days and quartile 4 the weakest.
I’ve highlighted just one exception: 11/21, the day before Thanksgiving.
Even though that day technically qualifies as quartile 4 (the weakest of days), the day before planned exchange holidays has historically been bullish for equities, so I’m leaving it as a question mark.
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