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
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Tuesday is the last day of the month. Would you adjust for that?
ReplyDeleteHulbert went back past 1983 and had a column up on memorial day this past week.
ReplyDeletehttp://www.marketwatch.com/story/an-early-summers-night-dream-2011-05-27
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.
ReplyDeleteHighgamma & muckdog,
ReplyDeleteIt appears you're on to something. Good idea. See my follow up post:
http://quantifiableedges.blogspot.com/2011/05/potentially-bullish-memorial-week-june.html
Best,
Rob