Friday, May 27, 2011

Memorial Week Seasonally Strong

Memorial week has some seasonal tendencies of which traders should be aware. I’ll be going in to some of these in this weekend’s subscriber letter, but below is a study that takes a broad look at the week as a whole. You’ll note that the study goes back to 1983. The reason it doesn’t go back further is that before 1983 the market did not exhibit a seasonally strong tendency during Memorial week.

Despite last year being down the circled stats are all impressive. An average gain of nearly 1.2% for the 4-day week along with a profit factor of 5 is very good. I’ll be discussing this and other Memorial week tendencies in this weekend’s letter. If you would like to view it you may sign up for a free trial here.


Highgamma said...

Tuesday is the last day of the month. Would you adjust for that?

muckdog said...

Hulbert went back past 1983 and had a column up on memorial day this past week.

muckdog said...

Actually, highgamma makes a good point. I wonder how the pattern holds up depending if memorial day is earlier vs later, when in the latter it bumps into monthly strength with 401k adds, etc.

Rob Hanna said...

Highgamma & muckdog,

It appears you're on to something. Good idea. See my follow up post: