Day of Month Seasonality for September

30Aug13

Last year, 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 future returns. That’s as true today as it was in 1950. Read more, more, and more.

Below are seasonally strong/weak days of the month for September, broken out by quartiles. Quartile 1 indicates the strongest days and quartile 4 the weakest.

20130830.01

The strategy was a real dog last month, but generally speaking, real-time results since I began sharing the calendar in October, 2012 have run inline with the historical test.

The S&P 500 has averaged 0.08% (23% annualized) on the best half of days versus 0.04% (12% annualized) on the worst half.

Quartile 4 days (the worst of days) have been particularly bad, with an average return of -0.09% (-21% annualized).

As I stressed when I introduced the concept, day-of-month seasonality never justifies a trade all by itself, but I do think it deserves to be one of many tools in the trader’s toolbox.

Happy Trading,
ms

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5 Responses to “Day of Month Seasonality for September”

  1. Thanks for this useful information. I was wondering if, in your view, there’s a a way to use these data as part of an overnight strategy?

    • 2 MarketSci

      Hmmm…very good question. I’ve added it to my todo list to run some numbers. michael

  2. So far so good. Looks like markets are following that schedule…


  1. 1 Friday links: coming out a loser | Abnormal Returns
  2. 2 Daily Quant Ideas from Paststat » Blog Archive Major US Indices September Monthly Seasonality Since 1990.

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