It is often stated that there is a historical period of seasonal weakness in US equities between May and October for each calendar year.

Could this seasonal bias be the result of just a few past yearly anomalies?

Is it relevant to the NASDAQ, or just the Dow and S&P 500 indices?

Is it relevant to any other markets?

Does this bias exist at the security level, or is it present on just some major securities and indices?


All these questions and more can be answered with the two profit % indicators and exploration below.

Plot both seasonal profit indicators in the same window below your price chart, and compare their profit curves.

Run the seasonal profit exploration on your universe of stocks, and sort columns according to exploration note instructions to determine median profit for each seasonal period.

MetaStock -> Tools -> The Explorer -> New
-> Copy and paste formula below.

[code:1:9bc934d74b]
===============
Seasonal profit
===============
---8<---------------------------

Notes:

---

1) Click on columns A or B profit % headers
to rank results by profitability;

2) Select the middle profit % result,
so that clicking again on the column header
(and reversing the profitability order)
does not change the position of the
selected result.

Exploration references default values in
following two indicators:
"Seasonal Profit % - May-Oct"
"Seasonal Profit % - Nov-April"

©Copyright 2004~2006 Jose Silva.
The grant of this license is for personal use
only - no resale or repackaging allowed.
All code remains the property of Jose Silva.
http://www.metastocktools.com

---

------------------

Column A: May-Oct

{ May-October seasonal profit % }
Fml("Seasonal Profit % - May-Oct")

---

------------------

Column B: Nov-Apr

{ November-April seasonal profit % }
Fml("Seasonal Profit % - Nov-April")

---

------------------

Filter:

colA<>0 OR colB<>0

---8<---------------------------

[/code:1:9bc934d74b]

... And this is what it looks like (click on image to expand):




1990-2006 total Dow seasonal profit Long:

Nov-April: +141%
May-Oct: +5%


jose '-)

The latest version of the Seasonal Profit % indicators can be found here.


jose '-)

Go[censored] I didn't even know that there were trading records going back that far...

Seasonal influences are likely to be dynamic - they probably shift over the years, so I would question the validity of any seasonality study based on anything beyond 10-20 years' data.

For example, with global warming now firmly in place, seasonal weather patterns averaged over 300 years may not make sense any longer.

Anyway, for market seasonality conclusions it's so much easier to apply the seasonal indicator above to each individual market's index.


jose '-)

Listed below is the results (Seasonal) for the 6 months (May to Nov) and (Nov to May) of the SP500 form 1930 to current. I used the closing price on the last day of the preceding month to do the calculations.

SP500 158.59% 371.61% % Totals

Date (From / To) Price % Chg % Chg
04/30/30 10/31/30 16.94 -31.97%
10/31/30 04/30/31 15.09 -10.92%
04/30/31 10/31/31 10.53 -30.22%
10/31/31 04/30/32 5.83 -44.63%
04/30/32 10/31/32 6.96 19.38%
10/31/32 04/29/33 8.32 19.54%
04/29/33 10/31/33 8.96 7.69%
10/31/33 04/30/34 10.46 16.74%
04/30/34 10/31/34 8.81 -15.77%
10/31/34 04/30/35 9.28 5.33%
04/30/35 10/31/35 12.46 34.27%
10/31/35 04/30/36 13.77 10.51%
04/30/36 10/31/36 17.21 24.98%
10/31/36 04/30/37 16.43 -4.53%
04/30/37 10/30/37 12.36 -24.77%
10/30/37 04/30/38 9.70 -21.52%
04/30/38 10/31/38 13.17 35.77%
10/31/38 04/29/39 10.92 -17.08%
04/29/39 10/31/39 12.83 17.49%
10/31/39 04/30/40 12.19 -4.99%
04/30/40 10/31/40 11.08 -9.11%
10/31/40 04/30/41 9.31 -15.97%
04/30/41 10/31/41 9.50 2.04%
10/31/41 04/30/42 7.66 -19.37%
04/30/42 10/31/42 9.42 22.98%
10/31/42 04/30/43 11.59 23.04%
04/30/43 10/30/43 11.92 2.85%
10/30/43 04/29/44 11.87 -0.42%
04/29/44 10/31/44 12.78 7.67%
10/31/44 04/30/45 14.84 16.12%
04/30/45 10/31/45 16.65 12.20%
10/31/45 04/30/46 18.76 12.67%
04/30/46 10/31/46 14.84 -20.90%
10/31/46 04/30/47 14.58 -1.75%
04/30/47 10/31/47 15.43 5.83%
10/31/47 04/30/48 15.48 0.32%
04/30/48 10/30/48 16.54 6.85%
10/30/48 04/30/49 14.74 -10.88%
04/30/49 10/31/49 16.04 8.82%
10/31/49 04/29/50 18.07 12.66%
04/29/50 10/31/50 19.53 8.08%
10/31/50 04/30/51 22.43 14.85%
04/30/51 10/31/51 22.94 2.27%
10/31/51 04/30/52 23.32 1.66%
04/30/52 10/31/52 24.52 5.15%
10/31/52 04/30/53 24.62 0.41%
04/30/53 10/30/53 24.54 -0.32%
10/30/53 04/30/54 28.26 15.16%
04/30/54 10/29/54 31.68 12.10%
10/29/54 04/29/55 37.96 19.82%
04/29/55 10/31/55 42.34 11.54%
10/31/55 04/30/56 48.38 14.27%
04/30/56 10/31/56 45.58 -5.79%
10/31/56 04/30/57 45.74 0.35%
04/30/57 10/31/57 41.06 -10.23%
10/31/57 04/30/58 43.44 5.80%
04/30/58 10/31/58 51.33 18.16%
10/31/58 04/30/59 57.59 12.20%
04/30/59 10/30/59 57.52 -0.12%
10/30/59 04/29/60 54.37 -5.48%
04/29/60 10/31/60 53.39 -1.80%
10/31/60 04/28/61 65.31 22.33%
04/28/61 10/31/61 68.62 5.07%
10/31/61 04/30/62 65.24 -4.93%
04/30/62 10/31/62 56.52 -13.37%
10/31/62 04/30/63 69.80 23.50%
04/30/63 10/31/63 74.01 6.03%
10/31/63 04/30/64 79.46 7.36%
04/30/64 10/30/64 84.86 6.80%
10/30/64 04/30/65 89.11 5.01%
04/30/65 10/29/65 92.42 3.71%
10/29/65 04/29/66 91.06 -1.47%
04/29/66 10/31/66 80.20 -11.93%
10/31/66 04/28/67 94.01 17.22%
04/28/67 10/31/67 93.90 -0.12%
10/31/67 04/30/68 97.59 3.93%
04/30/68 10/31/68 103.41 5.96%
10/31/68 04/30/69 103.69 0.27%
04/30/69 10/31/69 97.24 -6.22%
10/31/69 04/30/70 81.52 -16.17%
04/30/70 10/30/70 83.25 2.12%
10/30/70 04/30/71 103.95 24.86%
04/30/71 10/29/71 94.23 -9.35%
10/29/71 04/28/72 107.67 14.26%
04/28/72 10/31/72 111.58 3.63%
10/31/72 04/30/73 106.97 -4.13%
04/30/73 10/31/73 108.29 1.23%
10/31/73 04/30/74 90.31 -16.60%
04/30/74 10/31/74 73.90 -18.17%
10/31/74 04/30/75 87.30 18.13%
04/30/75 10/31/75 89.04 1.99%
10/31/75 04/30/76 101.64 14.15%
04/30/76 10/29/76 102.90 1.24%
10/29/76 04/29/77 98.44 -4.33%
04/29/77 10/31/77 92.34 -6.20%
10/31/77 04/28/78 96.83 4.86%
04/28/78 10/31/78 93.15 -3.80%
10/31/78 04/30/79 101.76 9.24%
04/30/79 10/31/79 101.82 0.06%
10/31/79 04/30/80 106.29 4.39%
04/30/80 10/31/80 127.47 19.93%
10/31/80 04/30/81 132.81 4.19%
04/30/81 10/30/81 121.89 -8.22%
10/30/81 04/30/82 116.44 -4.47%
04/30/82 10/29/82 133.71 14.83%
10/29/82 04/29/83 164.42 22.97%
04/29/83 10/31/83 163.55 -0.53%
10/31/83 04/30/84 160.05 -2.14%
04/30/84 10/31/84 166.09 3.77%
10/31/84 04/30/85 179.83 8.27%
04/30/85 10/31/85 189.82 5.56%
10/31/85 04/30/86 235.52 24.08%
04/30/86 10/31/86 243.98 3.59%
10/31/86 04/30/87 284.57 16.64%
04/30/87 10/30/87 251.79 -11.52%
10/30/87 04/29/88 261.33 3.79%
04/29/88 10/31/88 278.97 6.75%
10/31/88 04/28/89 309.64 10.99%
04/28/89 10/31/89 340.36 9.92%
10/31/89 04/30/90 330.80 -2.81%
04/30/90 10/31/90 304.00 -8.10%
10/31/90 04/30/91 375.35 23.47%
04/30/91 10/31/91 392.45 4.56%
10/31/91 04/30/92 414.95 5.73%
04/30/92 10/30/92 418.68 0.90%
10/30/92 04/30/93 440.19 5.14%
04/30/93 10/29/93 467.83 6.28%
10/29/93 04/29/94 450.91 -3.62%
04/29/94 10/31/94 472.35 4.75%
10/31/94 04/28/95 514.71 8.97%
04/28/95 10/31/95 581.50 12.98%
10/31/95 04/30/96 654.17 12.50%
04/30/96 10/31/96 705.27 7.81%
10/31/96 04/30/97 801.34 13.62%
04/30/97 10/31/97 914.62 14.14%
10/31/97 04/30/98 1111.77 21.56%
04/30/98 10/30/98 1098.67 -1.18%
10/30/98 04/30/99 1335.18 21.53%
04/30/99 10/29/99 1362.93 2.08%
10/29/99 04/28/00 1452.43 6.57%
04/28/00 10/31/00 1429.40 -1.59%
10/31/00 04/30/01 1249.46 -12.59%
04/30/01 10/31/01 1059.78 -15.18%
10/31/01 04/30/02 1076.92 1.62%
04/30/02 10/31/02 885.76 -17.75%
10/31/02 04/30/03 916.92 3.52%
04/30/03 10/31/03 1050.71 14.59%
10/31/03 04/30/04 1107.30 5.39%
04/30/04 10/29/04 1130.20 2.07%
10/29/04 04/29/05 1156.85 2.36%
04/29/05 10/31/05 1207.01 4.34%
10/31/05 04/28/06 1310.61 8.58%

If anyone is interested I have the same informaton on the Dow from 1900.