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Strategies & Market Trends : General market lab and commentary
SPY 672.07-1.7%4:00 PM EST
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From: Robohogs4/21/2016 6:53:40 AM
1 Recommendation

Recommended By
The Ox

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I have a first pass at some seasonality. For now I have gotten the data into some for of shape. I must say my data does not tie to the stuff I have seen historically so may have to re-explore. I started with the SPX index closing prices, ignoring dividends. I will run adjusted SPY data later to see how that changes answers. But I am getting data for April in the 2.7% range for the last 10 years to 1.7% since THE bull market started in 1982. Interestingly, over that same longer timeframe, today averages a 0.56% return. My guess is that a lot of this may have to due with option expiration Fridays (as 21st would be opex Friday for some part of the series). I have a feeling this may be the highest single day historical return, but I am not at stage at computing every day yet. I have the data set up and calculated but I am still working to get my pivot tables to work or manual formulas going. I deleted my original pass at this after 2 hours of work yesterday, but that made me automate the first part of this saving 5-6 additional hours using VLOOKUPs to fit weekday data to full week data and then pull out the labels I wanted. This actually made calculating daily returns harder but simplified the monthly series.

Data below. I could not get my graphics to work with stack bar by year so please note 1=1982 and 34=2015.



This is about 65% positive. I will have better data on more indices when the pivot tables are finished.



This is 71% positive.



May should slow things down as it is up 0.9% per month on average with recent years being slightly negative.

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