I tested the old Jewish trader axiom "Sell on Rosh Hashanah and buy back on Yom Kippur?".

Andy Aiken writes:

Historically, returns between the two holidays are negative, but not often enough so to be a reliable calendar trade. Average returns are distorted by 2008.

Year    SPX change (%)
2000    -2.40%
2001    -1.94%
2002    -0.32%
2003    3.76%
2004    -0.92%
2005    -4.06%
2006    1.26%
2007    3.68%
2008    -17.76%
2009    -0.50%
2010    2.43%
2011    0.38%
2012    -2.21%
2013    1.77%
2014    -2.03%
2015    0.31%

% negative      56.3%
average return  -1.16%
median return   -0.41%

A 2004 paper suggests that the negative returns during this period may be due to lower-than-usual volume.



Following the usual Holiday/Valentines gold run-up (which was magnified by the flight to safety during the now official NDR bear market), the seasonal winter gold short is set up well this year. There is a weak price period for gold from mid-February until mid-March. Entering a short position on or about February 17 and holding until March 15 on the April contract has been a successful trade 25 times in the past 41 years for a success rate of 61.0% with a cumulative profit of $43,860 per futures contract. However, in recent years holding onto the short position established in February longer has been more profitable.

The chart below is a weekly chart of the price of gold with the exchange-traded note (ETN) DB Gold Double Short (DZZ) overlaid to show the inverse price correlation between the two trading vehicles. The line on the bottom section is the 41-year average seasonal tendency showing the market’s directional price trend with seasonal weakness highlighted in yellow.



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