Santa Claus Rally

Santa Claus Rally

mohit M. mohit M.

mohit M.

CEO at FMCG

发布日期: 2021年9月17日
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Often we come across the phrase “Santa Claus Rally” where it’s believed that the markets in general rally during Christmas period. Let’s test the theory on a few popular markets.

We are going to buy 1 contract at the open on 25th December and close after 4 days each year on all these markets. No commissions or slippage is added for the purpose of simplification. Starting from 2001 until 2019

The backtests have been performed on?Tradestation. The system took 20 trades in each market over a period of 20 years.

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Well, there seems to be validity in the concept. In order to trade a system like this, further research, backtesting & analysis are required.

A few suggestions that might further improve the system:-

  • Are the markets already in an?uptrend?
  • Is the instrument in the oversold territory?
  • Is there a confluence of?seasonality?
  • Longer/Shorter holding periods.



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