$SPX during 5 days prior to Thanksgiving since 1950

$SPX during 5 days prior to Thanksgiving since 1950

The First Thanksgiving at Plymouth By Jennie A. Brownscombe

image courtesy : Stedelijk Museum De Lakenhal http://www.lakenhal.nl/persberichtendetail.php?id=144  (The First Thanksgiving at Plymouth” (1914) By Jennie A. Brownscombe)

Below the trading odds for $SPX longs from week before Wednesday to the Wednesday before Thanksgiving Thursday day , since 1950

( in other words we go long at close on 3rd Wednesday of November and exit at close of 4th Wednesday of November )

  • Winners : 41
  • Losers : 22
  • % Winners : 65%
  • Average Change % : 0.47
  • Median Change % : 0.75
  • Maximum Gain % : 10.05
  • Maximum Loss % : -6.07 ( #FYI , 2011 , was the brutal Thanksgiving week for $SPX )
  • Average Gain %if Winner : 1.81
  • Average Loss % if Loser : -2.01
  • Average Gain % / Average Loss % : 0.90

The average gain for $SPX for a five day holding period , stands at 0.17%  , so there is slight out performance for $SPX during the week prior to Thanksgiving.

Below the table with $SPX returns from five trading days prior till the day before Thanksgiving Thursday , since 1950 .

Thanksgiving date Returns 5 days before % Returns 5 days before
28-Nov-13
22-Nov-12 35.54 2.62
24-Nov-11 -75.12 -6.07
25-Nov-10 19.76 1.68
26-Nov-09 0.83 0.07
27-Nov-08 81.1 10.05
22-Nov-07 -53.81 -3.66
23-Nov-06 9.52 0.68
24-Nov-05 34.4 2.79
25-Nov-04 -0.18 -0.02
27-Nov-03 16.01 1.54
28-Nov-02 24.72 2.70
22-Nov-01 -4.18 -0.37
23-Nov-00 -67.45 -4.85
25-Nov-99 6.37 0.45
26-Nov-98 42.39 3.70
27-Nov-97 7.05 0.75
28-Nov-96 11.05 1.49
23-Nov-95 4.44 0.75
24-Nov-94 -15.69 -3.37
25-Nov-93 -2.45 -0.53
26-Nov-92 6.34 1.50
28-Nov-91 -1.98 -0.52
22-Nov-90 -4.37 -1.36
23-Nov-89 1.37 0.40
24-Nov-88 5.18 1.96
26-Nov-87 -1.45 -0.59
27-Nov-86 11.11 4.67
28-Nov-85 3.55 1.78
22-Nov-84 -1.48 -0.89
24-Nov-83 0.88 0.53
25-Nov-82 -4.05 -2.94
26-Nov-81 3.79 3.15
27-Nov-80 1.11 0.80
22-Nov-79 0.5 0.48
23-Nov-78 2.77 2.99
24-Nov-77 1.04 1.09
25-Nov-76 1.8 1.79
27-Nov-75 0.96 1.07
28-Nov-74 2.04 3.00
22-Nov-73 -2.69 -2.63
23-Nov-72 2.4 2.10
25-Nov-71 -2.52 -2.71
26-Nov-70 2.3 2.78
27-Nov-69 -2.63 -2.74
28-Nov-68 1.62 1.53
23-Nov-67 1.89 2.06
24-Nov-66 -2.16 -2.62
25-Nov-65 -0.66 -0.71
26-Nov-64 -0.78 -0.90
28-Nov-63 0.35 0.49
22-Nov-62 0.65 1.08
23-Nov-61 0.03 0.04
24-Nov-60 0.1 0.18
26-Nov-59 0.45 0.79
27-Nov-58 -1.3 -2.44
28-Nov-57 1.33 3.33
22-Nov-56 -1.34 -2.91
24-Nov-55 -0.19 -0.41
25-Nov-54 0.59 1.75
26-Nov-53 0.23 0.95
27-Nov-52 0.19 0.75
22-Nov-51 -0.21 -0.92
23-Nov-50 0.34 1.72

Do note that VIX do subside during the same period , Below the trading odds for $VIX ( cash index) longs from week before Wednesday to the Wednesday before Thanksgiving Thursday day , since 1990

  • Winners : 6
  • Losers : 17
  • % Winners : 26%
  • Average Change % : -5.35
  • Median Change % : -5.32
  • Maximum Gain % : 18.32
  • Maximum Loss % : -26.04
  • Average Gain %if Winner : 7.20
  • Average Loss % if Loser : -9.78
  • Average Gain % / Average Loss % : 0.74

but do note that even though VIX and VXX are highly correlated , taking a trading observation on VIX and applying directly ( with out proper testing ) on $VXX is bit dangerous !!

 

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