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1997issue C021-5

Stacking calendar regimes around election years

Historical holiday, month-end, six-month, presidential-year, and decennial-year samples on equity indexes do not always point the same way. Editorial: treat an election year as a regime-overlap drill and stand aside when those labels conflict.

  • Editorial: treat an election year as stacked labels. A holiday or month-end rule is a candidate only after the six-month-split, the presidential-year slot, and the decennial-year agree; stand aside when they conflict.
  • The nearby NYSE Composite holiday sample was a 4.25-point net loss from 1982 through the mid-1990s, before slippage and commissions, after a consistently positive pre-1982 holiday-day tendency.
  • The month-end-window captured just over 159 points from 1982 through early November 1996, about 49 percent of the cash-index rise from 64 to about 386, while remaining exposed about 24 percent of sessions.
  • On total-return data from 1924, election and pre-election years averaged 14.59 percent and 19.61 percent, against 7.95 percent and 8.42 percent in the first and midterm years, while seventh years and most years after incumbent reelection were net lower.
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Current trackSeasonality analysis65 readingsSeasonal analysis67 readingsSeasonal trading90 readings

Stacked labels, not one seasonal cue

Seasonal analysis and seasonality analysis put a single trade into a regime-aware context. In an election year that context is three labels at once: the six-month-split of November-April versus May-October, the presidential-year slot, and the decennial-year, meaning a calendar year grouped by its ending digit.

Seasonal trading makes a holiday window or the month-end-window testable as one procedure. The archive reports those windows as their own historical samples.

Holiday windows on nearby NYSE Composite futures

A day-before holiday rule on the nearby NYSE Composite futures, with selected day-after windows around Thanksgiving and Christmas, summed to a 4.25-point net loss from 1982 through the mid-1990s sample before slippage and commissions.

In that holiday sample, the Thanksgiving window had the strongest cumulative change and Independence Day the weakest. The same holiday-day tendency was described as consistently positive before 1982, unlike the later futures-era sample.

The month-end-window

The month-end procedure bought the nearby NYSE Composite contract on the close before the last session of the month and sold on the close of the fourth session of the new month. That is the month-end-window: close before month-end through the fourth new-month close.

From 1982 through early November 1996, that five-day window captured just over 159 points, about 49 percent of the cash-index rise from 64 to about 386, while remaining exposed about 24 percent of sessions.

The six-month-split

A November-April versus May-October split on the Dow industrials showed 4670 points since 1950 in the colder-season window against 699 points in the other six months, and about 2.79 times the May-October gain in the 1979-forward sample.

Presidential-year slots and the decennial-year

Using total-return data from 1924, election and pre-election years averaged 14.59 percent and 19.61 percent, while the first year of a term and the midterm year averaged 7.95 percent and 8.42 percent.

In 11 prior seventh years of a decade the S&P 500 was lower in six cases, with a cumulative net change of minus 38.5 percent. After nine prior incumbent reelections the following year declined eight times, except for a 32.1 percent gain in 1985, a year ending in 5 that had no losing year in that series.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
9 of 41 in the Seasonality analysis track
19971-8 pp.Next on Seasonality analysisCalendar seasonality as a testable trading procedureSeasonality is defined here as calendar-tied recurrence, including anniversary dates, not as every cycle or weather pattern.
All readings on this track · 41 readings
  1. 1989Evaluating venue volume as a speculation-breadth signal
  2. 1991A thirty-name price-weighted average as a seasonal regime classroom
  3. 1991Ranked half-year rate changes as an equity signal filter
  4. 1991Demographic wave as a market-regime overlay
  5. 1994Seasonal range regimes as a futures context overlay
  6. 1996Evaluating presidential party terms as equity regimes
  7. 1996A dominant cycle is a baseline, not a reprint
  8. 1996Seasonality and presidential election cycle regimes
  9. 1997Stacking calendar regimes around election years
  10. 1997Calendar seasonality as a testable trading procedure
  11. 1997Lunar phase delay as a testable seasonal regime
  12. 1998Seasonal system construction without curve-fitting
  13. 1999Crowd life cycle as a market regime map
  14. 2001Regime-dependent cycle timing after four-year and seasonal lows
  15. 2002A 2002 case study in regime-first seasonal selection
  16. 2002Seasonal windows and dominant-cycle rules
  17. 2002Fifty-four-year wholesale cycle as an inflation-deflation regime map
  18. 2004The championship conference rule as a yearly regime case study
  19. 2004Election-year seasonality as trade regime context
  20. 2006Two-ten inversion as an intermarket regime filter
  21. 2006Midterm-to-presidential seasonal holding window
  22. 2008Two-layer equity regimes from seasonality and price history
  23. 2008Seasonal futures as a regime filter, not a calendar rule
  24. 2008Retesting seasonal rules when regimes change
  25. 2010Corn and wheat staggered calendars as dollar-neutral seasonal spreads
  26. 2011Name the S&P 500 trend regime before using weekly and monthly seasonality
  27. 2012Seasonal windows that wait for confirmation
  28. 2013Pair-sleeve rotation as a two-state sector regime-switch
  29. 2013Lunar phase as a seasonal overlay on implied volatility
  30. 2013Soybean seasonal highs in a five-year carryover regime
  31. 2014Year-end tax-loss selling as a seasonal regime
  32. 2017Calendar-window overlays that mute mechanical signals without rewriting the system
  33. 2017A four-year cycle and volume case study of a secular bear
  34. 2017Treat the valuation climate as climate and implied-volatility extremes as weather
  35. 2019Seasonal depth versus tracking for futures position sizing
  36. 2019Stacking cycle forecasts with seasonal regimes
  37. 2019Hit-rate gates for seasonal regime evaluation
  38. 2019July to October as a seasonal window, not a reason to own the name
  39. 2020A recession-regime checklist from valuation stretch and the yield curve
  40. 2020Treat a seasonal idea as a stay-or-sit holding procedure
  41. 2020A single position as a sleeve on a seasonal regime map
By fieldSeasonality and regimes131 readingsBy year199760 readings
All 65 readings tagged Seasonality analysis
Also on Seasonality analysis5 readings
1991A thirty-name price-weighted average as a seasonal regime classroom2006Midterm-to-presidential seasonal holding window2008Retesting seasonal rules when regimes change2008Seasonal futures as a regime filter, not a calendar rule2010Corn and wheat staggered calendars as dollar-neutral seasonal spreads