SEAS-01

Monthly Seasonality

Seasonal timing strategy based on the Nov-Apr effect.

SeasonalityCalendar

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At a glance

Best onSPY 5Y Calmar Top5

Signal frequencyMonthly

Typical holding period6 Months

Asset classesIndex

Markets tested10

Data through2026-11-10

What the backtest shows

Beat buy-and-hold on 6 of 10 markets by annual return over 5 years.
Had a smaller maximum drawdown than buy-and-hold on 10 of 10 markets.
Best market by Sharpe ratio: GLD (Sharpe 1.01, CAGR 14.1%).
Weakest market: UNG (Sharpe -0.19, CAGR -19.1%).

Equity curve

Monthly Seasonality Buy & hold · SPY, 2010-01-04 → 2026-11-10, growth of 1

Score and risk profile

Arena Score: 37.8SPY, 5 years

Return quality · 30%30

Drawdown control · 25%33

Consistency · 20%20

Robustness · 15%57

Significance · 10%79

Each bar is a percentile against every strategy on the same market and window (100 = best).

Time in market49%

Ulcer index7.5%

Longest drawdown679 days

Daily VaR (95%)-1.38%

Probability Sharpe > 079%

Beta vs buy & hold0.58

Alpha (annual)-2.4%

Positive months33%

CAGR after 10 bp costs3.8%

Deflated Sharpe (luck-adjusted)25%

CAGR, 90% bootstrap range-3.4% to 13.8%

Max drawdown, 90% bootstrap range-34.5% to -12.1%

How it held up in sell-offs (SPY)

Period	Strategy	Buy & hold
Q4 2018 sell-off	-13.8%	-19.2%
COVID crash (Feb–Mar 2020)	-33.7%	-33.7%
2022 bear market	-13.0%	-24.5%
Market above its 200-day average (annualized) · 81%	+5.9%	+12.5%
Market below its 200-day average (annualized) · 19%	+15.2%	+19.8%

Sell-off dates follow the US stock market. Above/below the 200-day average uses the previous day's position, so there is no look-ahead.

Results by market (5 years)

Market	CAGR	Buy & hold CAGR	Sharpe	Max drawdown	Buy & hold max DD	Volatility	Arena Score
GLDSPDR Gold Shares	14.1%	16.4%	1.01	-19.2%	-28.3%	14.3%	73
DBAInvesco DB Agriculture	9.1%	8.8%	1.01	-11.0%	-15.9%	9.2%	84
SLViShares Silver Trust	16.2%	15.2%	0.68	-42.5%	-57.8%	29.2%	69
DBCInvesco DB Commodity Index	8.8%	10.8%	0.66	-18.7%	-27.3%	13.9%	68
USOUnited States Oil Fund	15.3%	20.2%	0.63	-30.9%	-36.2%	27.7%	64
SPYSPDR S&P 500	4.0%	11.6%	0.35	-18.8%	-24.5%	13.2%	38
EURUSD=XEUR/USD	1.7%	-0.7%	0.32	-10.4%	-17.2%	5.6%	72
BTC-USDBitcoin	4.4%	2.6%	0.24	-54.7%	-75.9%	32.4%	44
ETH-USDEthereum	-15.0%	-15.1%	-0.07	-78.4%	-79.0%	41.2%	27
UNGUnited States Natural Gas	-19.1%	-30.7%	-0.19	-86.1%	-93.3%	49.4%	35

Strategy metrics use daily returns without trading costs. Buy-and-hold figures are for the same market and window. Rows are sorted by Sharpe ratio.

SPY across time windows

Window	Total return	CAGR	Sharpe	Sortino	Max DD	Win days	Trades
1 year	+6.0%	6.1%	0.75	0.68	-8.9%	27%	2
3 years	+19.0%	6.0%	0.56	0.50	-18.8%	27%	6
5 years	+21.7%	4.0%	0.35	0.35	-18.8%	26%	10
Full history	+244.0%	7.6%	0.64	0.54	-33.7%	27%	34

Rules

Logic

Only long SPY in Nov-Apr
Stay in cash May-Oct

Strategy evidence

Only available, validated bundles appear below. Missing evidence is not a passing validation result.

Evidence coverage

10 / 10 declared strategy–market pairs validated

Notes

Seasonality pattern applied to SPY only.

Related strategies

CAL-01 · SPY 5Y Sharpe 0.47Turn of Month

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Backtests are historical simulations on daily data and do not include commissions or slippage. They do not guarantee future results and are not investment advice. See the methodology for how every strategy is tested.