Charting the Santa Claus Rally
While it seems ‘ole Santa has caught a case of the Bah Humbugs, charting December to date against previous Decembers shows that the Santa Rally may just be getting started.
Let’s take a look at the S&P 500, starting in 1960, and SPY, starting in 1993, to chart the average December performance.
I’ve assumed that the $SPX and SPY was bought on the open on the first trading day of December and sold at the close on the last trading day of December.
As shown above, Santa really gets flying about halfway through December. In fact Santa rarely disappoints. We can see how true this is above.
While current December action (white line) is more volatile due to not being smoothed by the averaging process, it is easy to see that so far, the month seems to be following a typical December pattern.
Note that SPY, which represents more recent data, shows that the Santa Rally has been losing steam over the past decade or so.
December Statistics (using $SPX)
- Average Monthly Profit/Loss = 1.50%
- Winning Months= 71.15%
- Worst December = 1968 loss of -4.2%
- Best December = 1991 gain of +11.1%
Profit Distributions: (using $SPX)
Equity Curve: (using $SPX)
Let’s hope that Santa will soon be firing up his sleigh! If history is any guide, the rally should start within a few days…
38 Responses to Charting the Santa Claus Rally
Wood, good stuff. What are your thoughts that we may be better hitting hybrid OS before going higher? Seems to me that would be a higher probability trade.
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I think once seasonality kicks in, the market will climb regardless.
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hope and change santa edition
bet on long and you’ll lose.
we had 2 weeks of targeted, concerted efforts by hedge funds to push the market into a rally and it failed.
yesterday we went up–with below average volume and less volume than the last 2 days of losses.
just like chessnwine, you’ve been consistently wrong about December and I’ve been right until now.
I don’t see that changing any time soon.
you’re all far too optimistic
we’re not even oversold, according to most popular technicals and the fundamentals are just catastrophic.
yet most know-nothing blogs and sites keep yammering on about santa rallies.
all you’ll do is make it cheaper for the smart money to sell their longs
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I’m talking about marketwatch.com, thestreet and other crap, not your blog, woodshedder
but chessnwine would do himself a favor and include a bit more than averages into what he bewilderingly thinks is ‘analysis’.
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I was gonna say, Yes! I’ve been pretty much neutral to bullish in the near term. Still bearish long term.
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I’m just concerned that this is a ploy to get people to invest in a falling market.
I’ve seen a significant number of days where WTI and to a lesser degree S&P futures were pushed before the opening bell with a sell-off following.
I am convinced this is a rigged game.
the mythical santa rally just plays into their hands
Like or Dislike: 3 1
9:21 AM
call me fucking Nostradamus. Europe is crashing hard. Futures are tanking…
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Looking for at least parity on the Euro.
Christmas can also be a dangerous time for the markets.
I recall the Peso crisis in the mid ’90s at about this time of year.
The problem is that the Euro is a more important currency and affects many more.
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everything except commodities seems to have calmed down…
S&P +0.73%
still betting on a Friday sell-off… I don’t think people want to hold stuff till Monday…
who knows what news the weekend might bring…
but as long as WTI falls, I really don’t care ^^
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called it again. stocks pumped before opening, then dumped after.
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volume today was almost only half the daily average (50 day)
one of the lowest of the whole year.
and we went “up”.
Monday’ll be funday (channeling Day9)
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the above goes for the S&P
wow…. Dow went down -0.02% but with double average volume???? wtf?
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What are you babbling about? I’ve been neutral with a long/short strategy, ripping 18 points out of CRM short and 15 out of an AAPL short. If you’re so knowledgeable then take your ass over to the Blogger network. I discuss ideas and possible scenarios all the time.
Hot debate. What do you think? 9 6
you’re delusional.
you proved that with your rant about fast food and your censorship of my critique.
you just delete what you don’t like.
and you retroactively change our stance on things, if the market doesn’t follow your opinion.
you’re one of these people who is always right, and if someone proves to you you’re wrong, you just sing a little song in your head and make up your own reality.
Hot debate. What do you think? 7 9
LoL yes I delete cheap shot artist punks like you who act like jerks in my comments section and then expect decency in return. Those who want respect, give it. As for me changing my stance, I am completely honest and transparent with everything, and the market of readers on the Internet deems me both relevant and value-added with my traffic statistics and subscriber numbers. As usual,, loudmouth jerks like you are a vocal minority and flat-out wrong. You’re banned from my blog because the trash belongs outside. Good riddance.
Hot debate. What do you think? 9 8
see, if I was a “loudmouth” jerk, you’d not ban me.
people like you are only threatened by being proved wrong.
I listed the flaws in your argument, presented actual evidence to back up my claims and concluded that you did not know what you were talking about.
that is not “acting like a jerk”, that is called debate.
but we can’t have that, can we? otherwise everyone would know that you’re willfully hide facts, censor and deceive people who think you have something to say.
you only tolerate sycophants or people that make you look intelligent by criticizing you in a trashy, unintelligent manner.
I did not do you this favor. that’s why I’m banned.
and since we all know you have a history of banning and deleting responses that make you look bad, you’re claim to be “honest and transparent” is ridiculous in the extreme.
Hot debate. What do you think? 6 4
you’d ban that as well if you could and claim I took cheap shots at you and was a loud mouthed jerk 
be serious. compare your post to mine: you sound like that. I do not.
you resort to name calling: “jerk” “punk” and you call me “trash”
very civilized, very mature.
you’re projecting your own inadequacies onto your betters, once they point out your censorship, your ideology and your falsehoods.
Hot debate. What do you think? 7 5
Wood, what about this?
http://marketsci.wordpress.com/2011/11/29/december-not-so-super-duper-bullish/
SPX from Jan-Nov was negative.
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Great study by Mr. Stokes!
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Since December is usually an positive month for returns, then this may lead to a false conclusion on expected returns for this year. How does this chart look when you only look at prior years that have had a negative returns December 15th?
THank you for all your hard work and insight!
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should be “negative returns through December 15th”
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ckalt, look at the link above to MarketSci. That may answer your question.
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One other thing to keep in mind is the SPY is down for the year. This is the 3rd year of the current Presidential term. The last losing year was 1931. Odds are for us to go up for the next two weeks.
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Unless you think it’s 1931 all over again.
________
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can you check this entry rule
Buy the in the week of Christmas , that is enter the trade on the last trading trading before the week where Christmas falls and exit during weekend of Christmas ( for ex for this year it is buy at 16 Dec close and exit and 23 close )
here is a study of the same on “All Ords” the Aussie index
http://asxiq.com/blog/santa-claus-rally-backtesting-results-on-all-ords/
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Great Post! Merry Christmas
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Maybe Wood will do the January small cap stock rally next? It may produce better results than Santa’s rally. Stocks like WAVX.
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I can certainly do that N.B.
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Thnaks Wood. Great post as always.
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chess is a:
joke
little bitch
perma bull
paper trader
degenerate gambler
fly only keeps him around because his bullshit style appeals to the rookies
Hot debate. What do you think? 4 6
amen to that.
he posts a slew of screens with “break out patterns” to new heights like it’s 1999 and then claims he’s neutral.
all based on averages.
of course, as I predicted, the next day ended in red, as did the next and the next for his babies
I wonder what happens when all of his precious averages are above the market.
what then? where’s his reference point then?
he’s such a freaking amateur. what really bugs me is how he tricks new traders into his bull traps
Like or Dislike: 3 1
Look guys, ya’ll need to take up any issues you have with Chess on his blog. Any future comments about this will be deleted.
Poorly-rated. Like or Dislike: 0 4
Yes — feel free to prove your competence on the Blogger Network. If you’re as consistently good as Chess, maybe you’ll get a blog too.
_________
Like or Dislike: 2 0
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Yes, this has nothing to do with me or my blog. I have not seen/read your debates with Chess. I am not choosing to defend anyone or anything. I am choosing not to have the debate in the comments section of my blog.
Like or Dislike: 2 1
nobody can see a ctitical debate with chessnwine BECAUSE HE DELETES EVERY WELL SPOKEN CRITIZISM
there is not debate in his blog. there can not be, because he censors like a good Stalinist.
I am a bit offended that you took the time to tell us to stop talking about chess, without even reading what we’ve written here.
but alas, this is your blog, so let’s end this.
someone who defends censorship with even more censorship is not worth our time anyway.
have a nice day
you got zero thumbs up and 3 thumbs down for your censorship, I got plenty of thumbs up here for speaking the truth.
and I was right about Friday. big pump before start, then sell-off.
but since you don’t value my expertise, I wont bother you any more.
I’ve been 100% right all December.
but this seems to count for nothing here. you don’t want to earn money? be my guest.
listen to chessnwine’s bull-crap. pun intended
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Yesman, I am not defending censorship. In fact, you have said what you wanted to say, and have repeated it multiple times on my blog. I am obviously not censoring you. How many times do you need to say the same thing?
Your “expertise” has not been “valued” because for the most part, all of your comments have been about your issues with Chess.
You’re free to continue commenting here, but subsequent comments about Chess or your debate with him will result in a ban from commenting. Sorry. I’m tired of dealing with this.
Like or Dislike: 3 1