Three records, kept apart, and no figure on this page combines two of them.
What each strategy's rule did after the research cutoff, the current year: every trade that has closed since, on SPY at the open, gross. Out of sample: the rules were measured through the cutoff only, and none of these trades reached a figure they are judged by.
Research cutoff 2025-12-31; prices through 2026-10-02.
| Strategy | Trades closed | Up | Return, summed | Excess, summed | Position now | Next entry (open) |
|---|---|---|---|---|---|---|
| Turn of the month S2.E1Enter at the month end, exit 4 sessions after it, every month | 9 | 6 (67%) | +8.42% | +7.06% | in since Sep 30, 2026exits Oct 6, 2026 | Oct 30, 2026exits Nov 5, 2026 |
| Santa Claus rally S2.E3Enter 4 sessions before the month end, exit 3 sessions after it, in December | 1 | 0 (0%) | 0.00% | -0.26% | none | Dec 24, 2026exits Jan 6, 2027 |
| Year-end rally S2.E4Hold November through December, from November's first session to January's | 1 | 1 (100%) | +0.30% | -1.20% | none | Nov 2, 2026exits Jan 4, 2027 |
| FOMC announcement day S5.F3Enter on the day of a scheduled FOMC announcement, exit 1 session after it | 6 | 2 (33%) | -1.55% | -1.79% | none | Oct 28, 2026exits Oct 29, 2026 |
| Mid-month S2.E2Enter the first session on or after day 14 of every month, hold 3 sessions | 9 | 3 (33%) | -3.24% | -4.27% | none | Oct 14, 2026exits Oct 19, 2026 |
| Pre-holiday S2.E6Enter 1 session before a market holiday, exit the first session after it | 8 | 3 (38%) | -0.43% | -0.74% | none | Nov 25, 2026exits Nov 27, 2026 |
| First session of the month S5.F1Enter 1 session after the month end, exit 2 sessions after it, every month | 10 | 7 (70%) | +2.15% | +1.76% | none | Nov 2, 2026exits Nov 3, 2026 |
| Entry (open) | Exit (open) | Return | Same-hold return | Excess |
|---|---|---|---|---|
| 2026-08-31 | 2026-09-04 | +0.61% | +0.15% | +0.46% |
| 2026-07-31 | 2026-08-06 | +3.43% | +0.15% | +3.28% |
| 2026-06-30 | 2026-07-07 | +1.20% | +0.15% | +1.05% |
| 2026-05-29 | 2026-06-04 | -0.50% | +0.15% | -0.65% |
| 2026-04-30 | 2026-05-06 | +1.89% | +0.15% | +1.74% |
| 2026-03-31 | 2026-04-07 | +2.77% | +0.15% | +2.62% |
| 2026-02-27 | 2026-03-05 | -0.15% |
| Entry (open) | Exit (open) | Return | Same-hold return | Excess |
|---|---|---|---|---|
| 2025-12-24 | 2026-01-06 | 0.00% | +0.26% | -0.26% |
| Entry (open) | Exit (open) | Return | Same-hold return | Excess |
|---|---|---|---|---|
| 2025-11-03 | 2026-01-02 | +0.30% | +1.49% | -1.20% |
| Entry (open) | Exit (open) | Return | Same-hold return | Excess |
|---|---|---|---|---|
| 2026-09-16 | 2026-09-17 | +0.48% | +0.04% | +0.44% |
| 2026-07-29 | 2026-07-30 | -0.53% | +0.04% | -0.57% |
| 2026-06-17 | 2026-06-18 | -0.22% | +0.04% | -0.25% |
| 2026-04-29 | 2026-04-30 | +0.51% | +0.04% | +0.47% |
| 2026-03-18 | 2026-03-19 | -1.70% | +0.04% | -1.74% |
| 2026-01-28 | 2026-01-29 | -0.09% | +0.04% | -0.13% |
| Entry (open) | Exit (open) | Return | Same-hold return | Excess |
|---|---|---|---|---|
| 2026-09-14 | 2026-09-17 | +0.55% | +0.11% | +0.43% |
| 2026-08-14 | 2026-08-19 | -1.05% | +0.11% | -1.16% |
| 2026-07-14 | 2026-07-17 | -1.18% | +0.11% | -1.29% |
| 2026-06-15 | 2026-06-18 | -0.29% | +0.11% | -0.40% |
| 2026-05-14 | 2026-05-19 | -1.19% | +0.11% | -1.31% |
| 2026-04-14 | 2026-04-17 | +2.68% | +0.11% | +2.57% |
| 2026-03-16 | 2026-03-19 | -1.71% |
| Entry (open) | Exit (open) | Return | Same-hold return | Excess |
|---|---|---|---|---|
| 2026-09-04 | 2026-09-08 | -0.38% | +0.04% | -0.42% |
| 2026-07-02 | 2026-07-06 | +0.18% | +0.04% | +0.14% |
| 2026-06-18 | 2026-06-22 | -0.01% | +0.04% | -0.05% |
| 2026-05-22 | 2026-05-26 | +0.51% | +0.04% | +0.47% |
| 2026-04-02 | 2026-04-06 | +1.46% | +0.04% | +1.42% |
| 2026-02-13 | 2026-02-17 | -0.23% | +0.04% | -0.27% |
| 2026-01-16 | 2026-01-20 | -1.75% |
| Entry (open) | Exit (open) | Return | Same-hold return | Excess |
|---|---|---|---|---|
| 2026-10-01 | 2026-10-02 | +0.81% | +0.04% | +0.77% |
| 2026-09-01 | 2026-09-02 | +0.06% | +0.04% | +0.02% |
| 2026-08-03 | 2026-08-04 | +1.49% | +0.04% | +1.45% |
| 2026-07-01 | 2026-07-02 | +0.32% | +0.04% | +0.28% |
| 2026-06-01 | 2026-06-02 | +0.22% | +0.04% | +0.18% |
| 2026-05-01 | 2026-05-04 | -0.16% | +0.04% | -0.20% |
| 2026-04-01 | 2026-04-02 | -1.14% |
What the catalog's research leads did on prices after the research cutoff, which discovery never saw, losses included. The catalog was not frozen and published in advance, so this is a held-out test of the current catalog, not a forward record.
Research cutoff 2025-12-31; prices through 2026-10-02.
| Level | Outcomes | Predicted mean | Realised mean | Predicted hit rate | Realised hit rate | Losses |
|---|---|---|---|---|---|---|
| 509 | +0.82% | +0.15% | 63% | 52% | 242 | |
Each strategy's rule as the evaluator measures it on SPY at the open, gross, through the research cutoff: the figures its page, the Scan and Check show for the rule, not a record of trading.
7 strategies, each through 2025-12-31.
| Strategy | Measured on | Trades | Average return | Over the same-length hold | Excess / year | Positive years |
|---|---|---|---|---|---|---|
| Turn of the month S2.E1 | SPY at opens, 2000-2025 | 311 | +0.24% | +0.09% | +1.05% | 62% |
| Santa Claus rally S2.E3 | SPY at opens, 2000-2024 | 25 | +0.78% | +0.52% | +0.52% | 68% |
| Year-end rally S2.E4 | SPY at opens, 1999-2024 | 26 | +3.62% | +2.11% | +2.11% | 73% |
| FOMC announcement day S5.F3 | SPY at opens, 2000-2025 |
| +0.15% |
| -0.30% |
| 2026-01-30 | 2026-02-05 | -1.57% | +0.15% | -1.72% |
| 2025-12-31 | 2026-01-07 | +0.73% | +0.15% | +0.58% |
| +0.11% |
| -1.82% |
| 2026-02-17 | 2026-02-20 | +0.32% | +0.11% | +0.21% |
| 2026-01-14 | 2026-01-20 | -1.38% | +0.11% | -1.49% |
| +0.04% |
| -1.79% |
| 2025-12-31 | 2026-01-02 | -0.21% | +0.04% | -0.25% |
| +0.04% |
| -1.18% |
| 2026-03-02 | 2026-03-03 | -0.54% | +0.04% | -0.58% |
| 2026-02-02 | 2026-02-03 | +0.96% | +0.04% | +0.92% |
| 2026-01-02 | 2026-01-05 | +0.12% | +0.04% | +0.08% |
| 1826 |
| +0.43% |
| +0.03% |
| 57% |
| 50% |
| 906 |
2,335 counted trades, losses first, out of 70,509 held-out trades in all. The rest overlap a stronger pattern at the same level on the same symbol and direction, so they are not averaged twice.
| 207 |
| +0.07% |
| +0.03% |
| +0.22% |
| 54% |
| Mid-month S2.E2 | SPY at opens, 2000-2025 | 312 | +0.24% | +0.13% | +1.54% | 54% |
| Pre-holiday S2.E6 | SPY at opens, 2000-2025 | 239 | +0.02% | -0.02% | -0.16% | 54% |
| First session of the month S5.F1 | SPY at opens, 2000-2025 | 312 | +0.06% | +0.03% | +0.30% | 54% |