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By Lawrence G. McMillan

Even though we are not planning a full newsletter next week because I’ll be on a ship (and I don’t know how good the internet connection will be, either), we do want to update our Thanksgiving-based trading systems.

For the sake of brevity, we won’t detail the “3 days before Thanksgiving” or the “day after Thanksgiving” trading systems – if you want to call them that.  They are not profitable, no matter how hard you want to stand on your head to interpret the data.

What is profitable though, is a combination of three seasonal patterns.  The first is that the market generally rises between Thanksgiving and the beginning of the next year.  The second is that the “Santa Claus rally” period (the last 5 trading days of one year and the first 2 of the next year) is normally bullish.  The third is that small cap stocks tend to outperform large caps in December, because what we used to call the “January Effect” has now been pushed into December.  So a combination of these three seasonal patterns led us to this system...

Thanksgiving Trading System

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