The above results actually go through the Monday following Thanksgiving. Positive tendencies may have existed in the distant past, but over the 21-year period I looked at there doesn’t appear to be any edge – bullish or bearish.
The market rallied hard on Friday after hitting historically extreme conditions. There are reasons to be optimistic about some follow-through this week. Thanksgiving doesn’t appear to be one of those reasons, though.
5 comments:
not that you take requests, but what about "if the bears get thanksgiving the Bulls get Christmas"?
That would be an interesting study.
cbi moved lower ?
Taking first differences (daily returns), there appears to be a big return from close of Wednesday to close of Friday. Am I misinterpreting the data?
Anon -
Not quite sure I understand what your proposing. If you're more specific I may be able to look at it.
Toptick,
Friday has been a good day over the years. Over the last 48 years Friday was up 77% of the time. Looking at the last 21 years though, it was 13-8 for a 62% win %. The average Friday after Thanksgiving over the last 21 years has averaged a 0.2% return. Very good for just one day. Of course 41% of those gains came just last year...
Didn't mean to be obscure. My interpretation of the data was that buying (at close) Wednesday and holding to end of Friday earned $+6683, which is sustantially better than the other daily returns. Such gains were negated by holding from that Friday to Monday of the next week ($-6205).
Thx
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