Loading page…
Captures year-end strength across the last 5 trading days of December and the first 2 of January on SPY.
Real internal-backtest statistics from the registry — Internal backtest · SPY daily bars (Yahoo Finance) · 33 windows · 1993–2026 (Stock Trader's Almanac cites ~79% / ~+1.3% for the S&P 500 since 1950).
CAGR and exposure are not published for the library yet — we show “—” rather than invent them. Max drawdown, best year and worst year are undefined for the pooled Momentum universe backtest. Win rate is a share of trades, average return is per trade, and holding period is in trading days.
Santa Claus Rally — average cumulative return across the held window
Trading sessions from entry (0 = buy at the 6th-last Dec close; last 5 of Dec + first 2 of Jan follow) · Average cumulative return (%). Empirical average path computed across all 33 completed backtest windows on real SPY daily closes — measured from history, NOT illustrative and NOT externally published. Anchored at the entry (the 6th-last December session); each point averages the windows that reached it (offsets 0–6 all 33; the Jan +2 exit 32 — one window was holiday-shortened). Labelled basis:"derived" only because the frozen v1 enum offers no "empirical" value.
The "Santa Claus Rally" is a seven-trading-day window straddling the New Year that has historically shown a positive bias. This strategy buys SPY at the close of the trading day just before the window opens (the 6th-to-last trading day of December) and sells at the close of its final day (the 2nd trading day of January), holding cash the rest of the year.
Calm, positive year-ends with normal holiday participation — light volume, seasonal inflows and an optimistic mood.
Years dominated by macro shocks, rate scares or an active bear market, when news overwhelms the light-volume seasonal drift. A missing Santa Claus Rally is itself watched as a bearish tell.
Seasonal, flow-driven year-end strength — lighter holiday trading, year-end bonus/401(k) inflows, tax-loss selling having washed out earlier in December, and institutional window-dressing.
| Driver | Mechanism |
|---|---|
| Light holiday volume | Thin participation lets modest buying move the tape. |
| Year-end inflows | Bonuses, 401(k) contributions and fund flows arrive around the turn of the year. |
| Tax-loss selling done | The December tax-loss selling pressure has largely cleared by the window. |
| Window dressing / optimism | Managers tidy books into year-end; a generally positive holiday mood prevails. |
A tendency, not a guarantee — the effect is well known and can fail in any given year.
One pure core (santaClausSignalFromBars) backs the live state and the backtest adapter, using the shared trading calendar so both agree on the anchors.
The 6th-to-last trading day of December —
nthLastTradingDay(decYear, 12, 6)— the session just before the seven-day window opens.
The 2nd trading day of January —
nthTradingDay(decYear + 1, 1, 2)— the last day of the window.
Detected by boundary-crossing on actual bar dates (weekends/holidays skipped), so each fires exactly once per year and the trade holds across the New Year.
entryPrice/stopLoss/firstTarget/riskPercent/rewardRiskRatio are null. Risk control is the short, fixed ~7-session hold and being in cash otherwise.Deterministic, from the shared seasonalConfidence model. confidenceScore is a setup-quality measure (0–100), not a probability of profit.
| Component | Max | Awarded |
|---|---|---|
seasonalWindow | 60 | 60 while the window is Active (today inside it), else 0. |
windowProximity | 40 | 40 × (10 − daysUntilEntry)/10 over the 10 days before entry, clamped to [0,40]. |
100 inside the window; ramps 0 → 60+ as it approaches; 0 far away. Bands: <70 Weak · 70–79 Good · 80–89 Strong · 90–100 Exceptional.
The API returns ["Santa Claus Rally window is active"] while Active, else [].
| Dimension | Ideal |
|---|---|
| Market | Broad US equities (SPY), calm-to-positive year-end with normal holiday participation. |
| Trader | Passive, rules-driven — takes the window every year as a small seasonal overlay. |
| Timeframe | One ~7-session window each turn of the year. |
| Avoid when | An active bear market or a macro shock lands in the window; or when costs swamp the ~0.8% edge. |
basis enum gap** — the historicalPattern.basis is "published"|"derived"; there is no "empirical" value, so the empirical path is labelled "derived" with the real provenance in note./api/backtest always recomputes.Real responses from the live endpoints for this strategy.
GET /api/strategies?id=santa_claus_rally{
"strategies": [
{
"id": "santa_claus_rally",
"name": "Santa Claus Rally",
"category": "Seasonality",
"asset": "SPY",
"description": "WHAT IT IS: The Santa Claus Rally is a well-known seasonal tendency…",
"historical": {
"yearsTested": 33,
"winRate": 0.6667,
"averageReturn": 0.8,
"bestYear": 7.76,
"worstYear": -4.6,
"maxDrawdown": 5.1,
"averageHoldingPeriod": 7,
"profitFactor": 2.72,
"totalTrades": 33,
"source": "Internal backtest · SPY daily bars (Yahoo Finance) · 33 windows · 1993–2026 (Stock Trader's Almanac cites ~79% / ~+1.3% for the S&P 500 since 1950)"
},
"historicalPattern": {
"title": "Santa Claus Rally — average cumulative return across the held window",
"xLabel": "Trading sessions from entry (0 = buy at the 6th-last Dec close; last 5 of Dec + first 2 of Jan follow)",
"yLabel": "Average cumulative return (%)",
"basis": "derived",
"source": "Internal backtest — 33 completed SPY windows (Yahoo Finance daily closes), 1993–2026",
"note": "Empirical average path computed across all 33 completed backtest windows on real SPY daily closes…",
"series": [
{ "day": 0, "label": "Entry (Dec −6)", "cumulativeReturn": 0.0 },
{ "day": 1, "label": "Dec −5", "cumulativeReturn": 0.18 },
{ "day": 2, "label": "Dec −4", "cumulativeReturn": 0.54 },
{ "day": 3, "label": "Dec −3", "cumulativeReturn": 0.55 },
{ "day": 4, "label": "Dec −2", "cumulativeReturn": 0.56 },
{ "day": 5, "label": "Dec −1", "cumulativeReturn": 0.28 },
{ "day": 6, "label": "Jan +1", "cumulativeReturn": 0.63 },
{ "day": 7, "label": "Exit (Jan +2)", "cumulativeReturn": 0.83 }
]
},
"status": "Upcoming",
"entryDate": "2026-12-22",
"exitDate": "2027-01-04",
"daysUntilEntry": 140,
"entryPrice": null, "stopLoss": null, "firstTarget": null, "riskPercent": null, "rewardRiskRatio": null,
"confidenceScore": 0,
"confidenceBreakdown": { "seasonalWindow": 0, "windowProximity": 0 },
"explanation": "The Santa Claus Rally window opens 2026-12-22 (140 days away) and exits 2027-01-04…",
"checklist": [],
"score": 70, "recommended": true, "weight": "medium"
}
]
}GET /api/scan?strategy=santa_claus_rallyThis is a market-wide calendar strategy, not a per-symbol screen, so /api/scan?strategy=santa_claus_rally returns { "supported": false } with a clear message.
GET /api/backtest?strategy=santa_claus_rally{
"strategy": "santa_claus_rally",
"symbol": "SPY",
"range": { "requestedFrom": null, "requestedTo": null, "testedFrom": "1993-01-29", "testedTo": "2026-08-04", "barsTested": 8435 },
"metrics": {
"totalTrades": 33, "winningTrades": 22, "losingTrades": 11,
"winRate": 0.6667, "averageReturn": 0.008, "medianReturn": 0.008,
"bestTrade": 0.0776, "worstTrade": -0.046, "averageHoldingPeriod": 6.97,
"profitFactor": 2.7231, "totalReturn": 0.2894, "maxDrawdown": 0.051
},
"sampleTrades": [
{ "entryDate": "2025-12-23", "exitDate": "2026-01-05", "entryPrice": 585.10, "exitPrice": 584.90, "return": -0.0003, "holdingDays": 7 }
],
"openTradeEntryDate": null
}lib/market-data/prices.ts).*Past behaviour does not ensure future results. confidenceScore measures setup quality, not the probability of profit.*