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The five weakest Santa Claus windows on record, with the calendar year that followed each

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 5×5read in context →
The five weakest Santa Claus windows on record, with the calendar year that followed each — 5 rows by 5 columns, computed from US exchange, SIP and OPRA data.
labelmeasured_frommeasured_tosanta_window_pctfollowing_year_pct
Dec 2014 to Jan 2015Dec 23Jan 5-2.9-0.81
Dec 2015 to Jan 2016Dec 23Jan 5-2.269.64
Dec 2007 to Jan 2008Dec 21Jan 3-2.21-38.28
Dec 2004 to Jan 2005Dec 23Jan 4-1.613.01
Dec 2023 to Jan 2024Dec 21Jan 3-0.8323.3
Rows × columns
5 × 5
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 The five weakest Santa Claus windows on record, with the calendar year that followed each, derived from the stored result.
ColumnTypeRangeNotes
label text 5 distinct values
measured_from text 2 distinct values (Dec 21, Dec 23)
measured_to text 3 distinct values (Jan 3, Jan 4, Jan 5)
santa_window_pct number -2.9 to -0.83 percent
following_year_pct number -38.28 to 23.3 percent

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'
        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
        WHERE m IN (12, 1)
    ),
    windows AS
    (
        SELECT
            toUInt16(if(m = 1, y - 1, y))                       AS year,
            toUInt16(year + 1)                                  AS next_year,
            anyIf(date, m = 12 AND sessions_from_end = 6)       AS base_date,
            anyIf(date, m = 1 AND sessions_from_start = 2)      AS end_date,
            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 = 12 AND sessions_from_end = 6) = 1
           AND countIf(m = 1 AND sessions_from_start = 2) = 1
    ),
    year_ends AS
    (
        SELECT
            y,
            argMax(close, date)                                 AS year_end_close
        FROM spy_days
        WHERE m = 12
          AND date < toStartOfYear(today())
        GROUP BY y
    )
SELECT
    concat('Dec ', toString(w.year), ' to Jan ', toString(w.next_year))                 AS label,
    concat(formatDateTime(w.base_date, '%b '), toString(toDayOfMonth(w.base_date)))     AS measured_from,
    concat(formatDateTime(w.end_date, '%b '), toString(toDayOfMonth(w.end_date)))       AS measured_to,
    round((w.end_close / w.base_close - 1) * 100, 2)                                    AS santa_window_pct,
    round((n.year_end_close / w.december_close - 1) * 100, 2)                           AS following_year_pct
FROM windows AS w
INNER JOIN year_ends AS n ON n.y = w.next_year
ORDER BY santa_window_pct ASC
LIMIT 5
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More from this analysisSanta Claus Rally: Hit Rate and Returns by Year
Santa Claus rally window return by year, SPY, with the full calendar December alongside table 23×5 → Santa Claus window vs. the rest of December vs. the whole month, SPY, all years on record table 3×8 → Failed vs. successful Santa Claus windows and the calendar year that followed table 2×6 → SPY volume in each Santa Claus window session as a share of its year's average daily volume ranking 7×4 → SPY monthly price returns by calendar month, complete years only table 12×6 → SPY September price return, year by year ranking 22×2 → See all 3,293 queries →