The Holiday Effect In Stock Markets (Holiday Effect On The Stock Market)
The holiday effect strategy seems to be significant for Independence Day, Thanksgiving, and Christmas. In this article, we look at seven different holiday effects and seasonalities in the US stock market. We look at how the S&P 500 performs before and around these holidays.
We test the Thanksgiving holiday effect this way:
We go long at the close the Monday prior to Thanksgiving.
We exit at the close on the first trading day of December.
By testing on SPY Amibroker returns the equity curve (Shown in image)
You can find more info about this trading strategy here:
https://www.quantifiedstrategies.com/holiday-effect-trading-strategy/
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