STRASMORE/EXPLORE 3,293 QUERIES

Santa Claus window vs. the rest of December vs. the whole month, SPY, all years on record

Answered against 22 years of US equities and 12 years of US options data and published with the query that produced it. This result is stored as of 2026-11-01, from Santa Claus Rally: Hit Rate and Returns by Year.

as of table 3×8read in context →
Santa Claus window vs. the rest of December vs. the whole month, SPY, all years on record — 3 rows by 8 columns, computed from US exchange, SIP and OPRA data.
labelyears_measuredup_yearshit_rate_pctmean_pctmedian_pctworst_pctworst_year
Santa Claus window231669.60.610.53-2.92014
December before the window231773.90.210.85-12.682018
Calendar December231565.20.450.7-9.332018
Rows × columns
3 × 8
Computed
Completeness
No missing values
Source
US exchange, SIP and OPRA market data
Licence
Strasmore terms · free, no signup
Formats
JSON · CSV · the SQL below

What each column holds

Column definitions for Santa Claus window vs. the rest of December vs. the whole month, SPY, all years on record, derived from the stored result.
ColumnTypeRangeNotes
label text 3 distinct values
years_measured number every row is 23
up_years number 15 to 17
hit_rate_pct number 65.2 to 73.9 percent
mean_pct number 0.21 to 0.61 percent
median_pct number 0.53 to 0.85 percent
worst_pct number -12.68 to -2.9 percent
worst_year text 2 distinct values (2014, 2018)

Computed from Strasmore's warehouse of US exchange, SIP and OPRA market data. Equity prices are delayed; options greeks and implied volatility are end-of-day. This result is stored, not recomputed on load — it is exactly the numbers that were returned on , and the query below is what returned them.

Run it yourself

This is the exact query behind the result above. Change a ticker, a date or a column and run it against the warehouse — no account, no key. The no-signup tier is smaller than the one this page was computed on; a query that reaches past it comes back saying which plan runs it.

WITH
    spy_days AS
    (
        SELECT
            date,
            toYear(date)                                   AS y,
            toMonth(date)                                  AS m,
            argMax(toFloat64(close), _ingest_time)         AS close
        FROM global_markets.stocks_daily_aggs
        WHERE ticker = 'SPY'
          AND toMonth(date) IN (11, 12, 1)
        GROUP BY date
    ),
    ranked AS
    (
        SELECT
            date,
            y,
            m,
            close,
            row_number() OVER (PARTITION BY y, m ORDER BY date DESC) AS sessions_from_end,
            row_number() OVER (PARTITION BY y, m ORDER BY date ASC)  AS sessions_from_start
        FROM spy_days
    ),
    windows AS
    (
        SELECT
            toUInt16(if(m = 1, y - 1, y))                       AS year,
            anyIf(close, m = 11 AND sessions_from_end = 1)      AS november_close,
            anyIf(close, m = 12 AND sessions_from_end = 6)      AS base_close,
            anyIf(close, m = 12 AND sessions_from_end = 1)      AS december_close,
            anyIf(close, m = 1 AND sessions_from_start = 2)     AS end_close
        FROM ranked
        GROUP BY year
        HAVING countIf(m = 11 AND sessions_from_end = 1) = 1
           AND countIf(m = 12 AND sessions_from_end = 6) = 1
           AND countIf(m = 1 AND sessions_from_start = 2) = 1
    ),
    unpivoted AS
    (
        SELECT
            year,
            arrayJoin([
                ('Santa Claus window',         (end_close / base_close - 1) * 100),
                ('December before the window', (base_close / november_close - 1) * 100),
                ('Calendar December',          (december_close / november_close - 1) * 100)
            ])                                                  AS pair,
            tupleElement(pair, 1)                               AS label,
            tupleElement(pair, 2)                               AS return_pct
        FROM windows
    )
SELECT
    label,
    count()                                                            AS years_measured,
    countIf(return_pct > 0)                                            AS up_years,
    round(countIf(return_pct > 0) * 100 / count(), 1)                  AS hit_rate_pct,
    round(avg(return_pct), 2)                                          AS mean_pct,
    round(quantileDeterministic(0.5)(return_pct, toUInt32(year)), 2)   AS median_pct,
    round(min(return_pct), 2)                                          AS worst_pct,
    toString(argMin(year, return_pct))                                 AS worst_year
FROM unpivoted
GROUP BY label
ORDER BY label DESC
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