Day of Month Seasonality for September
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.
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.
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Filed under: Time-based | 5 Comments