Wednesday, March 27, 2013

An Intraday Look At Holy Thursday Historical Performance

Last year I showed that the Thursday before Easter (also known as Holy Thursday) has exhibited a bullish inclination over the years.  Today I thought it would be interesting to break out that performance by overnight vs. intraday returns.  Intraday returns will be shown here.  Overnight returns can be found on Overnight Edges.

The study below shows historical performance from open to close on Holy Thursday.

Numbers here are solidly bullish, though not as overwhelming as the total numbers would suggest.  This is thanks to much of the strength coming the night before.  Below is the list of instances.


Instances highlighted in purple are the 5 that started with a gap down.  All 5 of these gaps were filled at one point during the day, and all 5 instances saw SPY close above where it opened (with 2 of them making for the largest 2 gains of the 19 listed).

There are numerous ways to try and take advantage of this information.  In general, traders should be aware that Holy Thursday has exhibited seasonal strength, and that strength has often begun to exert itself the night before.  For a more detailed breakdown of the overnight returns, check out today’s Overnight Edges blog post.


Daniel said...

It is also a "last day of a quarter", which has its own seasonality based implications.

Rob Hanna said...

Good point Daniel.