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2014issue C1058

Year-end tax-loss selling as a seasonal regime

A year-end-play treats tax-loss-selling and the wash-sale-restriction as one calendar window: late-year sales in poor calendar-year names, then a repurchase-delay for anyone who still wants the same exposure.

  • The year-end-play looks for names that have performed poorly in the calendar year, on the idea that holders may sell them in November or early December so realized losses can offset other taxable gains.
  • The wash-sale-restriction denies a loss deduction when a substantially identical security, or a contract or option to acquire one, is bought within 30 days before or after the sale, including purchases by a spouse or a controlled company.
  • Holders who still want the same shares or related options are described as observing a repurchase-delay of at least 30 days.
  • The historical workflow prepares in mid- to late October, applies a price-to-book-filter and a sector-spread, checks volume in the trade window, and takes an early profit if a name moves in the holder's favor before year-end.
Entries in this reading2 entries
Current trackSeasonality analysis65 readingsSeasonal trading90 readings

The year-end-play

The year-end-play is a calendar-window approach that looks for names sold late in the tax year so holders can realize losses, then treats the later repurchase constraint as part of the same setup.

The setup is framed as buying names that have performed poorly during the calendar year because holders may sell them in November or early December. That tax-loss-selling is meant to realize losses that can offset other taxable gains for the same year.

The wash-sale-restriction

A wash-sale-restriction denies a loss deduction when a substantially identical security, or a contract or option to acquire one, is bought within 30 days before or after the sale.

The same restriction is also triggered if a spouse or a company controlled by the seller buys a substantially equivalent security.

Holders who still want the same exposure are described as waiting at least 30 days before repurchasing the shares or related options. That wait is the repurchase-delay.

Preparation, the price-to-book-filter, and a sector-spread

Preparation is timed to mid- to late October, with entries allocated as a sector-spread across several industry groups instead of concentrated in one cluster of losers.

Candidate selection is described as starting with the worst calendar-year performers around 1 November, then keeping only names judged financially solid and trading at or below price-to-book. That quality screen is the price-to-book-filter.

Volume and the early-profit exit

Volume around the intended trade window is presented as a check for whether tax-motivated selling is already underway.

If a purchased name moves in the holder's favor before year-end, the procedure includes taking the profit instead of waiting for the calendar date.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
31 of 41 in the Seasonality analysis track
20178-11 pp.Next on Seasonality analysisCalendar-window overlays that mute mechanical signals without rewriting the systemA seasonal overlay can turn buy or sell signals on or off without changing a mechanical-trading-system's internal logic.
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 year201496 readings
All 65 readings tagged Seasonality analysis
Also on Seasonality analysis5 readings
1989Weekday price paths are regime-dependent1990Calendar windows as testable index-futures procedures1991A thirty-name price-weighted average as a seasonal regime classroom1996Evaluating presidential party terms as equity regimes1996Nested calendar clocks in long-bond futures