Monday, November 24, 2008

Thanksgiving Edge?

I’ve often heard about the positive tendencies of the market to rally Thanksgiving week. So I ran a quick test:

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.


Anonymous said...

not that you take requests, but what about "if the bears get thanksgiving the Bulls get Christmas"?

That would be an interesting study.

Anonymous said...

cbi moved lower ?

toptick said...

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?

Rob Hanna said...

Anon -

Not quite sure I understand what your proposing. If you're more specific I may be able to look at it.


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...

toptick said...

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).