Nikkei 225 (SIMEX): (High: Jun//Low: Jan or Nov) This pattern evolved from both major bull and major bear markets. Japanese fiscal year begins April 1.
Category: Seasonal
FTSE 100 Seasonal Pattern
NASDAQ Composite Seasonal Pattern
S&P 500 Seasonal Pattern
Standard & Poor’s 500 (CME): (High: Dec//Low: Jan) This pattern evolved as the effect of a long-term, mostly steady bull market in which prices are usually higher at the end of the year than at the beginning. Weakness from mid-March into Apr associated with shift of financial resources from private into public sector in the form of tax payments.
As of 14 September 2016:
Dow Jones Seasonal Pattern
Dow Jones 10 year cycle patterns
Typically, the US stock market has done well in years ending in ‘5’ (like 1975, 1985 or 1995). The stock market seems to follow a 10-year cycle. The chart above depicts the average 10-year course of the Dow Jones over approx. 100 years (i.e. the yellow part shows the average course of the years ending in ‘5’).
The years ending in ‘5’ have done extremely well in the 20th century. They produced an average gain of 34.61 %. This is the half of the entire average decennial gain! There was no losing year.
The following chart shows the performance of all years ending in ‘5’, not only for the 20th century, but also for the 19th century. It should be observed that there was no such phenomenon during the first eight decades in the 19th century. However, we may say that this is long ago.
Data sources:
Dow Jones Company
Schwert, William: Indexes of United States Stock Prices from 1802 to 1987, Journal of Business, 63 (July 1990) p. 399-426
British Pound vs Australian Dollar Seasonal Pattern
| Buy Dec 04 British Pound(IMM) / Sell Dec 04 Australian Dollar(IMM) | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Enter on approximately 08/16 – Exit on approximately 10/24 | ||||||||||
| Cont Year |
Entry Date |
Entry Price |
Exit Date |
Exit Price |
Profit Amount |
Best Equity Date |
Best Equity Amount |
Worst Equity Date |
Worst Equity Amount |
|
| 2003 | 08/18/03 | 33495 | 10/24/03 | 36061 | 2566.25 | 09/29/03 | 2982.50 | 09/16/03 | -625.00 | |
| 2002 | 08/16/02 | 41378 | 10/24/02 | 41480 | 102.50 | 09/30/02 | 2365.00 | 08/27/02 | -1022.50 | |
| 2001 | 08/16/01 | 37588 | 10/24/01 | 38340 | 752.50 | 09/27/01 | 5632.50 | 08/17/01 | -1045.00 | |
| 2000 | 08/16/00 | 34810 | 10/24/00 | 38102 | 3292.50 | 10/12/00 | 3910.00 | 09/11/00 | -2777.50 | |
| 1999 | 08/16/99 | 35040 | 10/22/99 | 38645 | 3605.00 | 10/21/99 | 4932.50 | 09/13/99 | -227.50 | |
| 1998 | 08/17/98 | 41020 | 10/23/98 | 43445 | 2425.00 | 08/28/98 | 6912.50 | 08/18/98 | -290.00 | |
| 1997 | 08/18/97 | 26228 | 10/24/97 | 32570 | 6342.50 | 10/24/97 | 6342.50 | 08/21/97 | -2320.00 | |
| 1996 | 08/16/96 | 18565 | 10/24/96 | 20425 | 1860.00 | 10/22/96 | 2067.50 | 09/10/96 | -1172.50 | |
| 1995 | 08/16/95 | 23195 | 10/24/95 | 24105 | 910.00 | 09/21/95 | 1927.50 | 09/13/95 | -2842.50 | |
| 1994 | 08/16/94 | 21883 | 10/24/94 | 28448 | 6565.00 | 10/20/94 | 7020.00 | 08/30/94 | -435.00 | |
| 1993 | 08/16/93 | 24760 | 10/22/93 | 24840 | 80.00 | 09/10/93 | 6907.50 | |||
| 1992 | 08/17/92 | 45983 | 10/23/92 | 29045 | -16937.50 | 09/08/92 | 6287.50 | 10/21/92 | -17732.50 | |
| 1991 | 08/16/91 | 25050 | 10/24/91 | 27843 | 2792.50 | 10/03/91 | 4315.00 | 08/19/91 | -2030.00 | |
| 1990 | 08/16/90 | 37763 | 10/24/90 | 43972 | 6210.00 | 10/18/90 | 7825.00 | 09/21/90 | -6332.50 | |
| 1989 | 08/16/89 | 23805 | 10/24/89 | 24208 | 402.50 | 10/24/89 | 402.50 | 10/11/89 | -4505.00 | |
| Percentage Correct | 93 | Protective Stop | (1817) | |||||||
| Average Profit on Winning Trades | 2707.59 | Winners | 14 | |||||||
| Average Loss on Trades | -16937.50 | Losers | 1 | |||||||
| Average Net Profit Per Trade | 1397.92 | Total trades | 15 | |||||||
Australian Dollar Seasonal Pattern
Canadian Dollar Seasonal Pattern
Canadian Dollar (IMM): (High: Jan or Nov//Low: Dec) Currency has often been weak at contract expiries. Fifteen-year pattern implies general bear market, with tendency to be lower at end of each successive year.
| Canadian Dollar(IMM)-September | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Buy on approximately 05/28 – Exit on approximately 07/02 | Contract Size: 100,000 Canadian Dollars | |||||||||
| Cont Year |
Buy Date |
Buy Price |
Exit Date |
Exit Price |
Profit | Profit Amount |
Best Equity Date |
Best Equity Amount |
Worst Equity Date |
Worst Equity Amount |
| 2004 | 05/28/04 | 73.12 | 07/02/04 | 75.48 | 2.36 | 2360.00 | 07/02/04 | 2360.00 | 06/16/04 | -560.00 |
| 2003 | 05/28/03 | 71.79 | 07/02/03 | 74.45 | 2.66 | 2660.00 | 06/13/03 | 2730.00 | ||
| 2002 | 05/28/02 | 65.17 | 07/02/02 | 65.39 | 0.22 | 220.00 | 06/27/02 | 780.00 | 06/17/02 | -710.00 |
| 2001 | 05/29/01 | 64.95 | 07/02/01 | 65.98 | 1.03 | 1030.00 | 06/29/01 | 1050.00 | 05/30/01 | -330.00 |
| 2000 | 05/30/00 | 66.53 | 06/30/00 | 67.67 | 1.14 | 1140.00 | 06/19/00 | 1870.00 | ||
| 1999 | 05/28/99 | 67.90 | 07/02/99 | 68.42 | 0.52 | 520.00 | 06/16/99 | 690.00 | 06/01/99 | -440.00 |
| 1998 | 05/28/98 | 68.88 | 07/02/98 | 68.24 | -0.64 | -640.00 | 06/02/98 | 150.00 | 06/15/98 | -910.00 |
| 1997 | 05/28/97 | 72.82 | 07/02/97 | 72.96 | 0.14 | 140.00 | 06/03/97 | 440.00 | 06/25/97 | -720.00 |
| 1996 | 05/28/96 | 72.80 | 07/02/96 | 73.67 | 0.87 | 870.00 | 06/25/96 | 920.00 | ||
| 1995 | 05/30/95 | 72.62 | 06/30/95 | 72.72 | 0.10 | 100.00 | 06/30/95 | 100.00 | 06/06/95 | -510.00 |
| 1994 | 05/31/94 | 71.93 | 07/01/94 | 72.13 | 0.20 | 200.00 | 06/07/94 | 630.00 | 06/17/94 | -500.00 |
| 1993 | 05/28/93 | 78.19 | 07/02/93 | 77.41 | -0.78 | -780.00 | 06/02/93 | 120.00 | 07/01/93 | -840.00 |
| 1992 | 05/28/92 | 82.58 | 07/02/92 | 82.84 | 0.26 | 260.00 | 06/12/92 | 1000.00 | 06/01/92 | -10.00 |
| 1991 | 05/28/91 | 86.50 | 07/02/91 | 87.06 | 0.56 | 560.00 | 06/28/91 | 620.00 | ||
| 1990 | 05/29/90 | 83.37 | 07/02/90 | 85.16 | 1.79 | 1790.00 | 07/02/90 | 1790.00 | ||
| Percentage Correct | 87 | |||||||||
| Average Profit on Winning Trades | 0.91 | 911.54 | Winners | 13 | ||||||
| Average Loss on Trades | -0.71 | -710.00 | Losers | 2 | ||||||
| Average Net Profit Per Trade | 0.70 | 695.33 | Total trades | 15 | ||||||
Japanese Yen Seasonal Pattern
Japanese Yen (IMM): (High: Oct or Dec//Low: Jan-Mar) Japan’s fiscal year begins Apr 1, with mid-year Oct 1 also important to balance sheets.
The prime example is August, the month in which the market has been down every year since 1999. During that time, USD/JPY fell for the month at least 137 pips each time around, with most of the declines coming in at better than 200 pips. The average has been 320 pips, which translates to a move of 2.80%.
In the case of EUR/JPY, as one might expect, August is a consistent down month, though there has been one up month since 1999. The average decline has been over 300 pips. November has been equally biased to the upside in terms of the 6:1 ratio, but the average rise is only 77 pips. The really interesting month, however, is December. The market rose every year from 2000 to 2004. Even though it fell in 2005, the cross has averaged a 350+ pip increase each year.
Weekday patterns filtered by month (1999-2005)
| Weekday | Month | Up:Down | Up/Down % | Avg. Pips | Avg. % |
| Tuesday | August | 9:22 | Down 71% | -27 | -0.23% |
| Thursday | August | 11:20 | Down 65% | -13 | -0.10% |
| Friday | August | 11:20 | Down 65% | -12 | -0.10% |
| Monday | January | 11:20 | Down 62% | -30 | -0.26% |
| Tuesday | May | 12:18 | Down 60% | -22 | -0.18% |
| Wednesday | November | 20:9 | Up 69% | 15 | 0.15% |
| Friday | September | 19:10 | Up 65% | 26 | 0.24% |
| Thursday | January | 19:10 | Up 65% | 20 | 0.18% |
| Wednesday | February | 18:10 | Up 64% | 33 | 0.30% |
| Tuesday | December | 18:11 | Up 62% | 15 | 0.13% |