The Holiday Effect in Stock Markets: Strategies and Seasonal Insights

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 following hypothesis:

1. We go long at the close on the first calendar day of the month which is higher than 11.

2. We exit at the calendar day 21 or more.

The equity curve looks like this (Shown below) in SPY.

You can find more info about this trading strategy here:
https://www.quantifiedstrategies.com/holiday-effect-trading-strategy/