1998issue C111-4
Seasonal stock-index windows beyond the January effect
A historical case study tabulated seasonal outright and inter-index windows across S&P 500, NYSE Composite, and Value Line futures. Editorial reading: treat those calendar windows as one testable procedure, then ask whether equal-weight versus capitalization-weight construction still frames a usable regime after the January effect fades.
- Three stock-index futures families had long enough history for the study: those tied to the S&P 500, the NYSE Composite, and the Value Line.
- The Value Line Arithmetic Index was equally weighted across about 1,650 issues, unlike the capitalization-weighted S&P 500 and NYSE Composite.
- The study argued that seasonal stock-index tendencies were not limited to the January effect and could appear in outright futures and in spreads between differently constructed indices.
- Editorial reading: treat the tabulated calendar windows as one testable procedure, then check whether equal-weight versus capitalization-weight construction still defines a usable regime after January fades.
Three index families and two constructions
The study used three stock-index futures families with long enough history: those tied to the S&P 500, the NYSE Composite, and the Value Line.
The Value Line Arithmetic Index was described as equally weighted across a broad mix of about 1,650 issues, unlike the capitalization-weighted S&P 500 and NYSE Composite.
How the seasonal windows were tabulated
The tabulated seasonal outright and inter-index spread windows were selected from hypothetical results covering the prior 14 or 15 years. Reported win rates for those selected windows sat between 80% and 100%.
A March Mini Value Line chart
The March Mini Value Line seasonal chart covering 1984-98 showed buying windows in the first and fourth quarters and a selling window in October. Both 15-year and five-year patterns were plotted.
Not only a January effect
The study argued that seasonal stock-index tendencies were not limited to the January effect. Those tendencies could appear in both outright futures and spreads between differently constructed indices.
Editorial reading
Editorial reading: treat each tabulated calendar window as one procedure that can be tested for entry, exit, and abstention. Then check whether the equal-weight Value Line, set against the capitalization-weighted S&P 500 and NYSE Composite, still produces a usable regime after the familiar January effect is set aside.
That second check is editorial. The archive itself stopped at the claim that seasonal tendencies were not confined to January and could show up in outright futures and in spreads between differently built indices.
All readings on this track · 17 readings
- 1987Seasonal commodity spreads as portfolio slots
- 1987Underwriting a seasonal livestock calendar spread
- 1987Calendar gates for outright seasonal portfolios
- 1988Relative strength spreads against a commodity index
- 1989Evaluating mechanical seasonal date rules for commodity spreads
- 1991Regime gates for intermarket and spread trades
- 1997A decision-logic filter for the July-November soybean spread
- 1997Seasonal wheat and corn spread windows
- 1997Seasonal filters for corn-wheat spread breakouts
- 1998Be rich or be right: when only a written checklist counts as a system
- 1998Seasonal stock-index windows beyond the January effect
- 1999Same-maturity quality sleeves from a credit tunnel
- 2002Intraday sector pairs hedged as one spread
- 2006Seasonal regimes versus one-off news in commodity and rate spreads
- 2006Calendar spreads as an unknown-fundamentals regime filter
- 2008Placing early 2008 grain futures on a historical range map
- 2017Quiet tape as a construction window for multi-leg energy spreads