Fractiz
Pattern Detail
Santa Rally
Whether the last five trading sessions of December lean up more than a normal stretch of the year.
Reliable effect
None
No window is distinguishable from the baseline.
Baseline Avg Return
+0.064%
Across 4,539 NQ sessions (1d)
Windows tested
1
0 reliable, 1 within noise
Summary
No window beats the all-session baseline beyond chance. Every difference below is within the margin of error, the seasonal effect is not measurable here.
Per-Window Stats
| Window | Sessions | Avg Return | % Up | Std Dev | Δ vs Baseline | Verdict |
|---|---|---|---|---|---|---|
| Santa Rally | 90 | +0.024% | 45.6% | 1.09% | -0.041% | Noise |
| Baseline (all sessions) | 4,539 | +0.064% | 55.8% | 1.41% | — |
"Reliable" = the window's average return differs from the all-session baseline beyond a 95% chance threshold, on at least 30 sessions. Everything else is within the margin of error.
Reliable effect
None
No window is distinguishable from the baseline.
Baseline Avg Return
+0.040%
Across 4,539 ES sessions (1d)
Windows tested
1
0 reliable, 1 within noise
Summary
No window beats the all-session baseline beyond chance. Every difference below is within the margin of error, the seasonal effect is not measurable here.
Per-Window Stats
| Window | Sessions | Avg Return | % Up | Std Dev | Δ vs Baseline | Verdict |
|---|---|---|---|---|---|---|
| Santa Rally | 90 | +0.076% | 48.9% | 0.94% | +0.036% | Noise |
| Baseline (all sessions) | 4,539 | +0.040% | 54.6% | 1.25% | — |
"Reliable" = the window's average return differs from the all-session baseline beyond a 95% chance threshold, on at least 30 sessions. Everything else is within the margin of error.
The Santa Rally is the old claim that stocks drift higher into year-end, over the last handful of trading sessions of December. This page tests that window on its own and asks whether returns there actually lean up more than a normal session, or whether the rally is mostly folklore.
What this measures
- The window is the last 5 trading sessions of December.
- Sessions are read off the regular trading hours, so each is one daily session.
- The window is compared against a baseline of every other session in the year, so the numbers say how far the late-December stretch sits from the typical session.
Why it matters
The Santa Rally story attributes year-end strength to thin holiday participation, tax-loss selling that has run its course, and bonus money finding its way into the market. It is also one of the most-repeated and least-tested calendar claims out there. A date has no edge of its own, so the only honest question is whether this window’s returns lean up more than an ordinary stretch, and by enough to clear chance.
The sample is thin: about 5 sessions a year, so even a long history leaves under a hundred sessions in the window. A modest tilt can easily be noise, which is exactly what the reliability test on the page is for.
How to read the numbers
- Avg return is the mean session return inside the window.
- Delta vs baseline is how far that mean sits above or below a normal session. A positive delta is the “rally.”
- % Up is the share of sessions that closed up, a useful complement to the mean.
- The verdict tags each window Reliable only when its difference from the baseline clears a 95% chance threshold on enough sessions. With a window this thin, do not be surprised if a visible-looking tilt reads as noise.
What’s not here
- The “if Santa fails to call, bears may come to Broad and Wall” claim. That conditional version needs its own measurement.
- Different window sizes (some authors use the last 5, others the last 7 sessions, sometimes spilling into early January).
- A year-by-year breakdown.
For the early-January side of the same year-end story, see the January Effect.
FAQ
Is the Santa Rally real?
It is one of the most-cited calendar claims in markets, usually pinned on thin holiday participation, exhausted tax-loss selling, and bonus reinvestment. This page tests it by measuring the last 5 trading sessions of December against a baseline of every other session, and tags the window reliable only when its lean clears a 95% chance threshold. The sample is small, about 5 sessions a year, so a modest tilt can read as noise. The numbers on the page show whether it actually held on this market.
When is the Santa Rally?
Here it is defined as the last 5 trading sessions of December, the run into the New Year. Definitions vary, some traders start it earlier or let it spill into the first days of January, which is why this page pins down one window and measures it directly rather than leaning on the legend.