# Double Your Stock Market Returns Using Seasonality

Last Updated on December 4, 2019 by Mark Ursell

I like to take a quantitative approach to the markets and I find seasonal factors very interesting. In this article, I investigate whether trading on different days of the month can deliver better returns in the stock market.

I will firstly look at the returns on each trading day of each month. Then I will turn this into a trading strategy that exploits this information and compares it to a buy and hold strategy.

I was listening to an excellent Podcast Interview with Jay Kaeppel. In this interview, Jay talks a lot about seasonal factors and I wanted to have a look and see whether I could replicate his results.

#### Market and Data

I am carrying out this test on the S&P 500 index. The S&P 500 is weighted by capitalization and represents the share price of the largest US listed companies. The data is from Yahoo Finance and I have used a 21 year period from the start of 1995 to the end of 2015.

#### Analysis Method

My analysis has been carried out using a Tradinformed Excel Backtest Model. These are an affordable and flexible way for anyone to test their own trading strategies on any market and timeframe.

The results showed that there is a significant variation between the returns on each trading day. The 1st trading day of each month was the most profitable day to be in the market. This is closely followed by the returns on the 11th trading day.

Based on the returns by trading day I have analyzed a trading strategy that is in the market on:

• Days 1-3
• Days 9-12
• Days 19 – end of the month

I tested the Buy and Hold and Trading Day Strategy and I got the following results.

[table caption=”” width=”500″ colwidth=”200|150|150″ colalign=”left|center|center”] ,Buy and Hold, Day of the Month Strategy
Initial Capital,”\$100,000″,”\$100,000″
Final Capital,”\$350,558″,”\$695,498″
Net Profit,”\$250,558″,”\$595,498″
Profit Factor,-,1.51
Win Percentage,100.00%,59.60%