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Santa Claus Rally: Hit Rate and Returns by Year
The five weakest Santa Claus windows on record, with the calendar year that followed eachtable · 2026-11-01 · 5×5 Santa Claus window vs. the rest of December vs. the whole month, SPY, all years on recordtable · 2026-11-01 · 3×8 SPY volume in each Santa Claus window session as a share of its year's average daily volumeranking · 2026-11-01 · 7×4Preview: 7 ranked values, smallest first. Santa Claus rally window return by year, SPY, with the full calendar December alongsidetable · 2026-11-01 · 23×5 Failed vs. successful Santa Claus windows and the calendar year that followedtable · 2026-11-01 · 2×6
The September Effect: Is It Real? SPY Data
The three worst SPY Septembers on recordranking · 2026-09-26 · 3×2Preview: 3 ranked values, smallest first. SPY September price return, year by yearranking · 2026-09-26 · 22×2Preview: 16 ranked values, smallest first. SPY monthly price returns by calendar month, complete years onlytable · 2026-09-26 · 12×6 Average September vs. the other eleven months, by decaderanking · 2026-09-26 · 3×4Preview: 3 ranked values, largest first.
The five weakest Santa Claus windows on record, with the calendar year that followed each

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

most recentas 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
the exact SQL behind every number 
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
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 → See all 3,293 queries →
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