Annual Cycles

With all the talk about the "end of year" rally, I was having difficulty finding real numbers on what the typical gains are for this time of year. There's probably something out there but I couldn't find it (or it's not free lol) so I built something to help me run queries and see the actual numbers for any annual cycle. I'll post my findings in this thread for everyone's reference in the future so they can be in one place. 

Anyway, here's what it looks like for October through December over the last 20 years:

What cycles do you subscribe to and have impacted your trading habits?  Are there particular sectors or stocks you look at?

Here is what the "Santa Claus rally" looks like in recent years:

Seems like a mixed bag of results... Interesting that there are several spikes around the 4% area though!

Here's another chart with price history of November's first full trading week and price history of November's second through last weeks...

When November's first week is positive, it's relatively rare for the rest of the month to turn out negative - in the last 20 years it's only happened in 1991, 1993 and 2010.

For your viewing pleasure, I've included month below shown with its year's performance... 

November's 3rd full week price history is below. Interesting that in the last 8 years, only 2005 saw some nice gains.

Edit: Updated chart above with 2011 week's performance. We stuck with the trend with the second deepest losses in the last 20 years!

Here's one comparing December's first full week with the second full week (coming up next week!):

Well the first week isn't a good indicator with what will happen in the second week. Note that when week 2 is down, it's typically down significantly. Also notice that over the last 15 years, the second week has resulted in the opposite direction from the first week. Are we due for another? Only time will tell! :)

Here's what we've done for December 11 to the end of the month in the past 40 years. Not really much to see here, with decent 1.25% gains on average, but that 1991 10.37% rocket ship is insane! When I went to look at that year in particular, it looks like the rally didn't start until Dec 19 though. Amazing.

One observation - looks like we've had negative % change more frequently over the last 10 years than we have in the past... Haven't been positive 4 years in a row on these days since 1987-1994 time periods.

Thanks for the feedback SJE (as ususal) and Steve - I appreciate it. BTW, let me know if you would like to me to look at or run anything. It literally takes a minute to produce the chart. Right now I'm able to run on ranges of specific dates (e.g. 12/1 to 12/10), day of week number of month (e.g. first Monday in December to second Friday of December) and also day of full week number of month (e.g. first full week Monday in December to second full week in December). I define full week as the first week that has a full Monday through Friday of trading.

So far I've only looked at S&P 500 data, but I can run particular stocks or certain indexes.

I've included some charts for the last three days before December triple witching below.

Not too much to see here. Seems a little unusual to me that there's only 2 years in the last 20 that had a percent change greater than 1%. We'll see if today's performance shakes the trend - S&P nearing 1% down at this moment!

In the last 10 years, we've ended negative on 7 years for the Thursday. It looks like the 10 years prior were pretty much the opposite though.

Over the last 10 and even 20 years, we've been maintaining positive 70% of the time. Very nice!