Fractiz
Pattern Detail
Pre-Holiday Effect
Whether the session right before a US market holiday produces different RTH returns than a normal day.
Baseline Avg Return
+0.063%
Across 4,678 NQ sessions
Largest Deviation
+0.009%
Pre Holiday vs baseline mean
Sample Range
1d
2008-01-02 to 2026-02-24
Trigger: Sessions immediately preceding a US market holiday (detected from gaps between consecutive session dates)
Per-Window Stats
| Window | Sessions | Avg Return | Median | Win Rate | Std Dev | Δ vs Baseline |
|---|---|---|---|---|---|---|
| Pre Holiday | 55 | +0.072% | +0.087% | 60.0% | 1.12% | +0.009% |
| Baseline (all sessions) | 4,678 | +0.063% | +0.116% | 55.5% | 1.41% | — |
Detection scan: NQ 1d · 2008-01-02 to 2026-02-24 · generated Apr 27, 2026
What this pattern measures
A pre-holiday session is the last trading session immediately before a US market holiday. Detected empirically from gaps in the data: any session where the next trading session is more than the expected one calendar day away (or more than three days for a Friday) is treated as a pre-holiday session.
Definitions used on this page:
- Sessions are aggregated from RTH bars only (08:30 to 15:00 Central Time for CME equity index futures).
- Return is
(close − prior close) / prior close. - Holidays are inferred from the data itself. There is no hardcoded NYSE holiday list, so the detection survives changes to the holiday calendar over time.
- Baseline is every session in the sample. The pre-holiday bucket is the small subset preceding a non-weekend market closure.
Why it matters
The pre-holiday effect is one of the oldest “anomalies” in equity research: returns on the session before a holiday have historically averaged higher than typical sessions. Explanations include short-covering ahead of an illiquid period, behavioral anchoring, and a quirk of measurement. The numbers below show whether the effect persists in this instrument over the sample period.
Sample size is small: only about 9 to 11 US market holidays per year, so even 18 years of data produces under 200 pre-holiday sessions. Treat any apparent edge with proportional skepticism.
How to read the numbers
- The Pre-holiday bucket counts sessions immediately before a holiday.
- The baseline holds every session in the sample. Compare directly.
- Delta vs baseline is the difference of means. With sample sizes this small, a delta in either direction can be noise rather than signal.
- Win rate is informative independently: even a tiny mean edge with a clearly elevated win rate suggests a directional bias.
What’s not here
- Day-after-holiday returns (a separate but related question).
- Holiday-by-holiday breakdown (e.g., Thanksgiving vs July 4).
- Volume conditioning (some pre-holiday sessions trade much thinner than normal).