The time around Thanksgiving has shown some strong tendencies – both bullish and bearish. I have discussed them a number of times over the years. In the updated table below I show SPX performance results based on the day of the week around Thanksgiving. The bottom row is the Monday after Thanksgiving week. The top row is the Monday before Thanksgiving.

Monday and Tuesday of Thanksgiving week do not show a strong, consistent edge. But the data for both Wednesday and Friday looks quite strong. Wednesday has had the most consistent gains (76.9%), and the largest average p/l of 0.3% ($297.44 on $100k.) Friday’s stats look fairly impressive, but it has not performed nearly as well over the last 15 years as it had previously. Meanwhile, the Monday after Thanksgiving has given back a good chunk of the gains that were realized on Wednesday and Friday. The worst “Monday After” came in 2008 with a 9% 1-day decline. Since then, Monday After performance has been basically breakeven.

Want research like this delivered directly to your inbox on a timely basis? Sign up for the Quantifiable Edges Email List.

How about a free trial to the Quantifiable Edges Gold subscription?

The 4-day numbers are basically inverted. So the Tues-Fri after Labor Day have not seen any consistency without the delineator. But the trend filter reveals a striking difference. Over the last several weeks the market has rallied nicely, so we are currently facing the 2nd scenario. Below is a look at the profit curve for the 4-day exit following the current setup.

Choppy but an obvious downslope. Traders may want to consider this for the upcoming trading week. Have a great Labor Day!

To see other studies featured in this weekend’s subscriber letter, check out a free trial.

As you can see it is the only month with a negative Day 1 return. Below is a look at how it has played out over time.

This doesn’t appear to be a bearish setup. Just a bunch of chop that has failed to generate gains over time. But while it doesn’t hint at a down day on August 1^st, it certainly shows that August 1 has certainly not been seasonally bullish.

Interestingly, 36 of the 49 instances (73.5%) actually saw the SPX realize gains while the Death Cross was in effect.  The problem is the losing trades were very large.  And even most of the winners saw a sizable round-trip lower before they were able to carve out some gains (like the last one in 2022).  The average drawdown for these 49 trades would have been 13.2%.  And there were 5 separate instances that saw drawdowns of at least 45%.

Even though the giant losers were relatively rare, their impact is large.  And the fact that the 1^st instance was the worst instance also provides a great example of how devastating large drawdowns can be.  The profit curve below shows a hypothetical portfolio of only being invested in the market during SPX Death Crosses.

The 1^st instance from 1929 – 1933 saw the portfolio rise to $120k before falling down as low as about $20k and then finishing that trade with a value of about $34k.  And it has never managed to get back to breakeven.  The 73.5% “win rate” on the Death Cross tells me it is NOT a reliable timing device.  But the few instances of massive losses show just how valuable it can be to protect gains and avoid large portions of nasty bear markets.  If we get into a big bear market, I won’t actually be sitting out of the market for several years.  But it does allow us to adjust strategies, exposure and other risk parameters.  The Death Cross / Golden Cross on its own is not a great system.  But it can help us put the market into a context where we can better evaluate opportunities.  And I have also found it helpful when combining with other timing indicators, as I’ve done in the Market Timing Course.

Note: The Quantifiable Edges Market Timing Course does look at the Golden Cross / Death Cross in combination with other timing indicators.

Want research like this delivered directly to your inbox on a timely basis? Sign up for the Quantifiable Edges Email List.

Those are some impressive stats over the next few days. I also produced the 3-day profit curve.

That is a persistent move from lower left to upper right, serving as some confirmation of the upside edge suggested by the stats table.

Want research like this delivered directly to your inbox on a timely basis? Sign up for the Quantifiable Edges Email List.

How about a free trial to the Quantifiable Edges Gold subscription?

I limited the instances to only those inaugurations where a new president was entering office. I don’t think re-elections carry a sense of “new hope” the way a new president does. I also eliminated inaugurations of Presidents that weren’t elected (Ford in ’74, Johnson in ’63, Truman in ’45, and Coolidge in ‘23). I just don’t believe the same sense of excitement is generated by a replacement as by a newly elected president. The remaining presidents and their inaugurations can be found in the table below.

First, I found it interesting that the wonderful speeches and overall positive vibes surrounding a new president did NOT translate to a strong Inauguration Day performance. (You could throw out Roosevelt and G.W. Bush here, since the market was not open on the days they were giving their speeches. Same with whatever happens Tuesday since Trump will be inaugurated with the market closed on Monday.) I’ll also note that Donald Trump could (and certainly would) claim he gave the greatest Inauguration Day speech of the last 100 years back in 2017, since the 0.48% rise on that day was the best of any president on the actual Inauguration Day. It could also be claimed that Obama gave the worst speech in 100 years, since the Dow tumbled 4% on the day of his inauguration.

I’ll also note that looking out over the next 10 and 75 days the market did often seem to embrace the new hope that comes along with a new administration. Harding in 1921 is the only one on the list that saw the market more than 3.5% lower 75 days out. Meanwhile, there were 7 instances where the market was more than 3.5% higher. Biden had the best 75-day performance since Roosevelt in 1933. It is tough to draw conclusions based on just 14 instances over a 100+ year period. Also, some might consider Trump to be a “2^nd-term” president. While it is his 2^nd term, and he is not eligible for another, he is elected, and it will be a new administration from the previous 4 years. So I’d view it more similar to a 1^st term than a 2^nd term from a seasonality perspective. With 11 of the last 13 instances showing gains, and most of them strong gains, we may have some positive seasonality helping the market along the next few months.

As you can see, over the last 3 years, CBIs of 10+ have quickly been followed by a bounce. Of course it isn’t just the last 3 years that the indicator has been helpful.

The study below is one I have shown many times before. It looks at SPX performance if you were to buy the index when the CBI reached 10 or higher and then sell when it returned back down to 3 or lower. Results are updated.

The COVID Crash in March of 2020 accounted for most of the gross losses. Other than that instance, the strategy would have performed very well over the years. And the last 9 instances have all closed higher, making for a nice run since the start of 2022.

Closing up 29 years in a row is fairly astounding. Just as astounding is the abrupt changes in behavior we have seen. I have no good explanation for why such a formerly consistent edge changed, but it did.

This Nasdaq study is a great reminder though. The market is constantly changing and evolving. 2025 is just a few trading hours away. I’m not sure what it has in store for us, but I know it will play out in its own unique pattern. We will see clues along the way, and many of the truisms we’ve identified through studies over the last 17 years at Quantifiable Edges will continue to work. But some may flounder. And when something stops working, like the “last day of year bullishness” above, then I will do my best to recognize it early. Examining edges is more than just running numbers. Researchers and traders need to keep an open mind, understand the market is continually evolving, and adapt. 

We have decided to bring Black Friday back to Quantifiable Edges this year. We rarely have special sales at Quantifiable Edges, and have not had any since last year, so if you have been thinking about a Gold subscription, or the Swing Trading Course, or the acclaimed VIX Trading Course, or our Market Timing Course, now is the best opportunity you’ll see for a long time.  Check out our best offers below to start trading with a Quantifiable Edge! 

• Quantifiable Edges Gold Annual (with access to the Market Timing Course and Amibroker Code for the Quantifiable Edges Numbered Systems)  – $875 for the next 13 months!  That is $755 savings versus a monthly subscription and separate Market Timing Course and Amibroker code purchases!  After the initial 13-month period, subscription will renew at the annual rate of $1000.

• The Quantifiable Edges VIX Trading Course – $500 off. Down from $1875 to $1375!  Focused on trading VIX ETFs and VIX futures, the VIX Trading Course has had the strongest feedback of anything we have ever produced. It also has some of the biggest edges. You can check out a preview of the course here.

• Quantifiable Edges Swing Trading Course – $351 off. Down from $950 to $599! Created in 2019, this is a sizable discount for our highly rated course that teaches a quantified approach to swing trading. 

• Quantifiable Edges 2023 Expanded Market Timing Course – $36 off. Down from $125 to $89! Originally released in 2014, our most popular course was updated last year! In the 10 years since the original release, all 3 of the combination models handily outperformed the S&P 500, with lower drawdowns. And the 2023 version incorporates our Fed Liquidity indicator with new combinations and RealTest and Amibroker code as well!

The Quantifiable Edges Black Friday sale won’t last long, and it won’t be back for another year.  To take advantage, simply use the link below now to sign up.

https://quantifiableedges.com/subscribers/signup/black

There are a lot of positive numbers and the edge generally appears to be to the upside. Results between 70 and 90 days appear especially strong and consistent. Below is the profit curve and stats assuming an 80-day holding period.

The curve and stats remain encouraging. The broad rally we have seen over the last few days appears to be a positive breadth thrust for the intermediate-term.

Want research like this delivered directly to your inbox on a timely basis? Sign up for the Quantifiable Edges Email List.

How about a free trial to the Quantifiable Edges Gold subscription?