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2006issue C021-6

Stacking one-session calendar filters on index regimes

A 1985-2004 cash-index case study isolates five calendar windows, drops January and August first-session longs, and stacks the rest on 708 of 5048 sessions so abstention and a continuous-hold baseline stay in view.

  • The first-session-of-month rule is a same-day long from the open to the close, with January and August treated as abstention months after negative point totals and hit rates below one half.
  • The remaining landmarks are a ninth-of-month short on the calendar date when it trades, an expiry-week long on the Monday before the third Friday, a last-November short, and a two-session Christmas long.
  • The five windows are described as non-overlapping in direction, occupy 708 of 5048 sessions when stacked, and were applied to a futures proxy because the cash index is not itself a tradeable vehicle.
  • A continuous-hold baseline of 1035 index points, about 0.2 points per session, can outpace the intermittent windows in years when the index advances without pause.
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Current trackSeasonal chart pattern16 readingsSeasonal analysis54 readingsSeasonal trading60 readings

The study window

The archive records cash-index sessions from 1 January 1985 through 31 December 2004. Weekends and holidays are excluded, leaving 5048 sessions. A continuous-hold baseline on that path is stated as 1035 index points, or about 0.2 points per session.

The first-session hypothesis

The first-session-of-month hypothesis is a same-day long: enter at the open and exit at the close of that session. January and August first-session longs show negative point totals and hit rates below one half, so those two months are treated as abstention months rather than signal months.

Four more calendar landmarks

The ninth-of-month window is a calendar date, not a session count, and is specified as a same-day short only when that date is a trading session. The expiry-week window is the Monday before the third Friday, specified as a same-day long. The September 2001 occurrence is recorded as absent. Two further windows are specified: a same-day short on the last November session, and a two-session long into the Christmas holiday with exit on the following close.

A stacked yearly procedure

The five windows are described as non-overlapping in direction, so they can be stacked as one yearly procedure without a long and a short on the same day. Stacked, the windows occupy 708 of the 5048 sessions. They were applied to a futures proxy because the cash index is not itself a tradeable vehicle.

Yearly e-mini profit from the stacked calendar windows

From 1998 through 2004 the combined one-session rules stayed profitable every year on the e-mini, with 2000 the standout at $14,037.50 and 2001 the scare at $1,612.50 even though the hit rate stayed above 50 percent. Dollar totals come from Steelman's yearly profit-and-loss table for the stacked implementation, not from tracing the unlabeled equity-curve raster.
From 1998 through 2004 the combined one-session rules stayed profitable every year on the e-mini, with 2000 the standout at $14,037.50 and 2001 the scare at $1,612.50 even though the hit rate stayed above 50 percent. Dollar totals come from Steelman's yearly profit-and-loss table for the stacked implementation, not from tracing the unlabeled equity-curve raster.S&P 500 e-mini futures (ES) · One session (Christmas window is two sessions) · 1998-01-01T00:00:00.000Z to 2004-12-31T00:00:00.000Z

A $25 round-turn commission is already deducted and slippage is omitted. The companion equity-curve figure is labeled 20 November 1997 through 31 December 2004; this yearly table begins with calendar 1998, so the 1997 stub is left out.

When a continuous hold outpaces the windows

In years when the index advances without pause, a continuous hold can outpace these intermittent calendar windows. Seasonal analysis is a comparison of those calendar windows with a multi-year index path and time-in-market so a single day sits in a diversified or regime-aware context.

Three ways to read the same landmarks

Seasonal trading is a same-session long or short keyed to a calendar or expiry landmark, with entry, exit, and month-level abstention treated as one testable procedure. A seasonal chart pattern is a repeatable calendar-day condition on an open-to-close index path that can be framed as a falsifiable long or short hypothesis. The first-session, ninth-of-month, expiry-week, and last-November rules are open-to-close conditions of that kind. The Christmas window is specified as two sessions rather than one.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
6 of 16 in the Seasonal chart pattern track
20081-3 pp.Next on Seasonal chart patternThe January effect as a short window versus the monthThe January effect, also called the year-end effect, is a historical tendency for prices to firm from the last December session through the first week of January, and it is treated as most relevant to small-capitalization stocks.
All readings on this track · 16 readings
  1. 1989Weekday price paths are regime-dependent
  2. 1990The January barometer as a rest-of-year scoring problem
  3. 1990Calendar windows as testable index-futures procedures
  4. 1991Testing the July-August summer rally as an occurrence count
  5. 1996Nested calendar clocks in long-bond futures
  6. 2006Stacking one-session calendar filters on index regimes
  7. 2008The January effect as a short window versus the month
  8. 2012A seasonal window still needs regime and chart confirmation
  9. 2013Calendar seasonality as a regime filter, not a standalone signal
  10. 2016A monthly seasonal heatmap as a three-gate regime filter
  11. 2016Payroll windows and settlement regimes
  12. 2017Memorial Day seasonal windows across equity, rates, and euro
  13. 2018Month-turn window, posture, and an open menu
  14. 2019Monthly FX regimes as three-state stances
  15. 2019Seasonal windows inside renewable cost regimes
  16. 2020When a breakdown fails by one box, treat it as a regime filter
By fieldSeasonality and regimes93 readingsBy year200683 readings
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Also on Seasonal chart pattern5 readings
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