Santa Claus Rally: does it work?
The Santa Claus rally is the claim that stocks tend to rise over the last five trading days of December and the first two of January, repeated in market commentary every year.
The rule we tested. Hold over the last five trading days of December and the first two of January, flat otherwise, using calendar arithmetic only. It is a small test: one ETF and 21 trades, so treat it as a weak read either way.
- Santa Claus rally (last 5 + first 2 days of year) (1 ETF (QQQ standing in for SPY)), 2005-01-04 to 2025-03-14, costs 0.05% per side: −13.3 pts/yr vs the benchmark across 21 completed trades, unadjusted p=1.000, BH-adjusted q=1.000: did not beat the benchmark.
These versions did not pass these tests. ETF −13.3 pts/yr vs the benchmark (unadjusted p=1.000, BH-adjusted q=1.000). None cleared Tickfloor's Benjamini-Hochberg q<0.10 bar once weighed against every other rule tested alongside it. This describes the tested implementations, the costs and the benchmark stated here, not every version of the rule. These are historical diagnostics, not validation under Testing Standard v2: the backtest harness predates that standard and has not been re-run to meet it.
This is one line in a wider check: Tickfloor's research desk has run 517 strategies, most of them against an equal-weight benchmark of the same assets rebalanced daily that pays no costs (the strategies pay theirs), and after correcting for how many were tested (Benjamini-Hochberg, 598 tests), 0 passed. That does not prove no strategy works, and it says nothing about untested versions of a rule. These are historical diagnostics, not validation under Testing Standard v2: the backtest harness predates that standard and has not been re-run to meet it.
General information only. It doesn't consider your objectives, finances or needs. Tickfloor holds no financial services licence and never places trades.
Does the Santa Claus rally work?
These versions did not pass these tests. ETF −13.3 pts/yr vs the benchmark (unadjusted p=1.000, BH-adjusted q=1.000). None cleared Tickfloor's Benjamini-Hochberg q<0.10 bar once weighed against every other rule tested alongside it. This describes the tested implementations, the costs and the benchmark stated here, not every version of the rule. These are historical diagnostics, not validation under Testing Standard v2: the backtest harness predates that standard and has not been re-run to meet it.
What exact rule did Tickfloor test?
Hold over the last five trading days of December and the first two of January, flat otherwise, using calendar arithmetic only. It is a small test: one ETF and 21 trades, so treat it as a weak read either way.
Is this financial advice?
No. This measures a publicly claimed strategy rule, not a recommendation. General information only, not personal advice.
See the full numbers on the Day and month seasonality family page, or the full method and every result.