'Tis The Season by Bob Kargenian
The seasonal tendencies of the stock market have been the subject of extensive research. The likes of Yale Hirsch, Arthur A. Merrill, Martin Zweig and Norman Fosback — all noted technical analysts — have explored this topic, and most have conducted ongoing studies. My interest lies in what has happened to seasonal tendencies since the advent of stock-index futures and whether they can still be profitably exploited by investors and traders.
Essentially, there are six types of seasonal tendencies — days of the week; months; month-end; holidays; the Presidential cycle, and, finally, the year-end tax selling that is tied in with the "January effect." Holidays and month-end tendencies appear to offer the most viable strategies for profiting from index futures.
These strategies are about as simple as they can be. For holidays, you would purchase index futures on the close, two days prior to the holiday. Sell the futures on the close prior to the holiday, with the exception of Thanksgiving and Christmas, when you sell on the close the day after the holiday. For the month-end, purchase futures each month on the close of the day prior to the last trading day of the month, hold them for five days and then sell on the close of the fourth trading day of the new month.