The seasonal year
Monthly profile
Table view
Every month, every year
Reversal map — the average month
Average cumulative path inside each calendar month · ▲ peak day, ▼ trough day · 20-year sample
Favourable windows
Strongest recurring stretches of the year · 20-year sample
Hostile windows
Weakest recurring stretches of the year · 20-year sample
Event days
Average move on scheduled macro days · full sample
Inside the week & month
Average daily move · 20-year sample
Day of week
Around the month boundary
Method
Data. Daily closes from 1990 (or first available) through the latest session, refreshed with each publish. Returns are log daily changes; monthly and window figures compound them.
Lookback selection. For each instrument, every lookback window (5–30 years and full history) is walk-forward tested: the seasonal index for test year Y is built only from years before Y, then scored on direction accuracy against Y's actual months, across 2000–2025. The winning window is the site's default. Accuracy in the mid-50s is what genuine seasonality looks like — treat it as a tilt, not a timetable.
Significance. Cells and rows show win rate, Student's t and p-values. One dot marks p < 0.05, two dots p < 0.01. Most calendar effects are not significant — the honest ones are highlighted, the rest are context.
What this is not. Seasonality is a prior, not a signal. It says nothing about valuation, positioning or news. Nothing here is investment advice.
Built from a 36-year study of 6 instruments · sibling sites: cot · newcot · vix