More about seasonality

Seasonal behaviour of prices would suggest that assets show predictable behaviour during certain months, days of the week, calendar seasons or other non-consecutive time periods. Similar to momentum, possible existence of seasonality patterns would contradict efficient market hypothesis.

Trading 2 weeks/ month (2005–2014 in sample and the rest is OOS) on Equity indexes.

Equity indexes seasonality pattern

If we trade 6 months/year as per below, clearly the Oct-Apr is the winner

Equity indexes seasonality pattern Nov-Apr

Equity indexes seasonality pattern May-Oct

More stats to help identify seasonality:

SPX Monthly return

Monthly returns for SPX500 since 1982

Avg daily return for SPX since 1982

Avg daily return for 30 years gov bond

Crude oil daily avg return

A different way to visualise the seasonality:

Sept seasonality for equity indexes — since 1982/2002/2009 — red is cumulative return & blue is each day return

Day of month average return of 38 futures:

Average return of 38 futures

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