$SPX Santa Claus Rally

$SPX Santa Claus Rally 

Santa Claus Rally

 

image courtesy : http://www.forbes.com/sites/investopedia/2012/12/26/all-i-want-for-christmas-is-a-santa-claus-rally/

this is the first of the Santa Claus Rally patterns that we are aware ( more coming at appropriate times )

pattern 1) $SPX returns from October closing till December closing, since 1950

ps: assuming one goes long on the last trading day of October and exits at the last trading of the year or the last trading day of December , backtest period is from 1950 on $SPX ( S&P 500 Index)

  • Winners : 49
  • Losers : 14
  • % Winners : 78%
  • Average Change % : 3.20
  • Median Change % : 3.62
  • Maximum Gain % : 13.57
  • Maximum Loss % : -9.92
  • Average Gain %if Winner : 5.17
  • Average Loss % if Loser : -3.68
  • Average Gain % / Average Loss % : 1.40

to get an apple to apple comparison ,  since 1950 , the trading odds for longs for any two month holding period , other than going long at October end are

  • Winners : 431
  • Losers : 270
  • % Winners : 61%
  • Average Change % : 1.24
  • Median Change % : 1.62
  • Maximum Gain % : 19.01
  • Maximum Loss % : -28.44
  • Average Gain %if Winner : 4.90
  • Average Loss % if Loser : -4.61
  • Average Gain % / Average Loss % : 1.06

pattern 2) $SPX returns from October closing till December closing , when $SPX is up in October , since 1950

  • Winners : 28
  • Losers : 9
  • % Winners : 76%
  • Average Change % : 3.02
  • Median Change % : 2.93
  • Maximum Gain % : 11.88
  • Maximum Loss % : -7.23
  • Average Gain %if Winner : 4.80
  • Average Loss % if Loser : -2.52
  • Average Gain % / Average Loss % : 1.90

pattern 3) $SPX returns from October closing till December closing , when $SPX is up YTD as on October end, since 1950

  • Winners : 37
  • Losers : 7
  • % Winners : 84%
  • Average Change % : 4.13
  • Median Change % : 4.35
  • Maximum Gain % : 13.57
  • Maximum Loss % : -5.23
  • Average Gain %if Winner : 5.22
  • Average Loss % if Loser : -1.64
  • Average Gain % / Average Loss % : 3.18

pattern 4) $SPX returns from October closing till December closing , when $SPX is up YTD , more than 10% , as on October end, since 1950

  • Winners : 24
  • Losers : 3
  • % Winners : 89%
  • Average Change % : 4.93
  • Median Change % : 4.61
  • Maximum Gain % : 13.57
  • Maximum Loss % : -0.74
  • Average Gain %if Winner : 5.60
  • Average Loss % if Loser : -0.44
  • Average Gain % / Average Loss % : 12.73

pattern 5) $SPX returns from October closing till December closing , when $SPX is up YTD , more than 15% , as on October end, since 1950

  • Winners : 15
  • Losers : 1
  • % Winners : 94%
  • Average Change % : 4.88
  • Median Change % : 5.22
  • Maximum Gain % : 13.57
  • Maximum Loss % : -0.74
  • Average Gain %if Winner : 5.25
  • Average Loss % if Loser : -0.74
  • Average Gain % / Average Loss % : 7.08

pattern 6) $SPX returns from October closing till December closing , when $SPX is up YTD , more than 16% ( inspired by the word  sweet 16) , as on October end, since 1950

  • Winners : 15
  • Losers : 0
  • % Winners : 100%
  • Average Change % : 5.25
  • Median Change % : 5.83
  • Maximum Gain % : 13.57
  • Maximum Loss % : 0.84
  • Average Gain %if Winner : 5.25
  • Average Loss % if Loser : #DIV/0!
  • Average Gain % / Average Loss % : #DIV/0!

pattern 7) $SPX returns from October closing till December closing , when $SPX is up YTD , more than 20% , as on October end, since 1950

ps: this pattern will be void if we close below 1711 as on 31st Oct 2013

  • Winners : 6
  • Losers : 0
  • % Winners : 100%
  • Average Change % : 6.38
  • Median Change % : 6.01
  • Maximum Gain % : 13.57
  • Maximum Loss % : 1.29
  • Average Gain %if Winner : 6.38
  • Average Loss % if Loser : #DIV/0!
  • Average Gain % / Average Loss % : #DIV/0!

you see how the average returns increased from pattern 1 by the end pattern 7 !!

conclusion : if those #DIV/0 errors that are thrown by excel are indeed repeated , based on the “Sweet Sixteen $SPX YTD October returns based Santa Claus Rally pattern Median Returns ” our year end closing target is 1862.61 ( we hate a give targets , as we are focused on whether it might be an up or down day tomorrow/next week / next month etc .. for $SPX , but for the sake of it , who keeps asking for year end targets ..)

below the table with the returns up to Oct End and the rest of the year returns , since 1950

Year $SPX Close Year Start YTD Returns % Returns % in Nov Returns from Oct end to Dec End
Oct-13 ~ 1759.77 1426.19 ~ 23.39 ?? ??
Oct-12 1412.16 1257.6 12.29 0.28 0.99
Oct-11 1253.3 1257.64 -0.35 -0.51 0.34
Oct-10 1183.26 1115.1 6.11 -0.23 6.29
Oct-09 1036.19 903.25 14.72 5.74 7.62
Oct-08 968.75 1468.36 -34.03 -7.48 -6.76
Oct-07 1549.38 1418.3 9.24 -4.40 -5.23
Oct-06 1377.94 1248.29 10.39 1.65 2.93
Oct-05 1207.01 1211.92 -0.41 3.52 3.42
Oct-04 1130.2 1111.92 1.64 3.86 7.23
Oct-03 1050.71 879.82 19.42 0.71 5.83
Oct-02 885.76 1148.08 -22.85 5.71 -0.67
Oct-01 1059.78 1320.28 -19.73 7.52 8.33
Oct-00 1429.4 1469.25 -2.71 -8.01 -7.63
Oct-99 1362.93 1229.23 10.88 1.91 7.80
Oct-98 1098.67 970.43 13.21 5.91 11.88
Oct-97 914.62 740.74 23.47 4.46 6.10
Oct-96 705.27 615.93 14.50 7.34 5.03
Oct-95 581.5 459.27 26.61 4.10 5.92
Oct-94 472.35 466.45 1.26 -3.95 -2.77
Oct-93 467.83 435.71 7.37 -1.29 -0.29
Oct-92 418.68 417.09 0.38 3.03 4.07
Oct-91 392.45 330.22 18.85 -4.39 6.28
Oct-90 304 353.4 -13.98 5.99 8.63
Oct-89 340.36 277.72 22.56 1.65 3.83
Oct-88 278.97 247.08 12.91 -1.89 -0.45
Oct-87 251.79 242.17 3.97 -8.53 -1.87
Oct-86 243.98 211.28 15.48 2.15 -0.74
Oct-85 189.82 167.24 13.50 6.51 11.31
Oct-84 166.09 164.93 0.70 -1.51 0.69
Oct-83 163.55 140.64 16.29 1.74 0.84
Oct-82 133.72 122.55 9.11 3.60 5.17
Oct-81 121.89 135.76 -10.22 3.66 0.54
Oct-80 127.47 107.94 18.09 10.24 6.50
Oct-79 101.82 96.11 5.94 4.26 6.01
Oct-78 93.15 95.1 -2.05 1.66 3.18
Oct-77 92.34 107.46 -14.07 2.70 2.99
Oct-76 102.9 90.19 14.09 -0.78 4.43
Oct-75 89.04 68.56 29.87 2.47 1.29
Oct-74 73.9 97.55 -24.24 -5.32 -7.23
Oct-73 108.29 118.05 -8.27 -11.39 -9.92
Oct-72 111.58 102.09 9.30 4.56 5.80
Oct-71 94.23 92.15 2.26 -0.25 8.34
Oct-70 83.25 92.06 -9.57 4.74 10.69
Oct-69 97.12 103.86 -6.49 -3.41 -5.21
Oct-68 103.41 96.47 7.19 4.80 0.44
Oct-67 93.3 80.33 16.15 0.75 3.40
Oct-66 80.2 92.43 -13.23 0.31 0.16
Oct-65 92.42 84.75 9.05 -0.88 0.01
Oct-64 84.86 75.02 13.12 -0.52 -0.13
Oct-63 74.01 63.1 17.29 -1.05 1.36
Oct-62 56.52 71.55 -21.01 10.16 11.64
Oct-61 68.62 58.11 18.09 3.93 4.27
Oct-60 53.39 59.89 -10.85 4.03 8.84
Oct-59 57.52 55.21 4.18 1.32 4.12
Oct-58 51.33 39.99 28.36 2.24 7.56
Oct-57 41.06 46.67 -12.02 1.61 -2.61
Oct-56 45.58 45.48 0.22 -1.10 2.39
Oct-55 42.34 35.98 17.68 7.49 7.42
Oct-54 31.68 24.81 27.69 8.08 13.57
Oct-53 24.54 26.57 -7.64 0.90 1.10
Oct-52 24.52 23.77 3.16 4.65 8.36
Oct-51 22.94 20.43 12.29 -0.26 3.62
Oct-50 19.53 16.66 17.23 -0.10 4.61

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