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Thanksgiving Reversal Update

In our post on November 25 https://www.alpha-week.com/blog/thanksgiving-reversal we outlined a curious observation of frequent (90% frequency) reversal of performance in the days directly before and after the U.S. Thanksgiving holiday. The effect was so strong that we wanted to follow up and see what happened before and after this year's holiday, which was on November 28.

AlphaBot

It turns out this time it worked just as wonderfully! Both the CTA portfolio and the equity index have gained nearly 1.5% from Nov 21 to Nov 27, only to lose close to 2% in the following days through December 3. Updating our previous summary chart for average returns in days before and after Thanksgiving (with the point for the most recent holiday data marked in red color) we get this interesting chart:

AlphaBot

How many other short term effects do you know that occur in the markets with such certainty over the years?

Dmitri Alexeev is Co-Founder of AlphaBot


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