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.
| label | measured_from | measured_to | santa_window_pct | following_year_pct |
|---|---|---|---|---|
| Dec 2014 to Jan 2015 | Dec 23 | Jan 5 | -2.9 | -0.81 |
| Dec 2015 to Jan 2016 | Dec 23 | Jan 5 | -2.26 | 9.64 |
| Dec 2007 to Jan 2008 | Dec 21 | Jan 3 | -2.21 | -38.28 |
| Dec 2004 to Jan 2005 | Dec 23 | Jan 4 | -1.61 | 3.01 |
| Dec 2023 to Jan 2024 | Dec 21 | Jan 3 | -0.83 | 23.3 |
- Rows × columns
- 5 × 5
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
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
Work with this data in your AI assistant
Opens ready to query, with this page's data. Free, no account.