Rosh Hashanah Trading Strategy – How Does The Stock Market Perform? (Backtest, Performance, Code)
Rosh Hashanah in commonly known as the Jewish New Year. This, of course, means a lot for Jewish people, who celebrate it during a three-day holiday. But during that timeframe, the market is generally open. Can we make a profitable Rosh Hashanah trading strategy?
The stock market does not perform well during Rosh Hashanah. For the last 90 years returns have been negative.
We will also show you the python code we used to backtest the Rosh Hashanah trading strategy.
Lets get to it.
Related reading:
What Is Rosh Hashanah?
Rosh Hashanah, known as the Jewish New Year, is a significant holiday in the Jewish calendar.
Falling in September or October, it marks the beginning of the High Holy Days leading up to Yom Kippur.
During Rosh Hashanah, symbolic foods like apples dipped in honey are eaten, symbolizing a sweet New Year.
Synagogue services include the sounding of the shofar, a ritual horn.
The period encourages introspection and repentance, known as Teshuvah. Some communities engage in the Tashlich ceremony, casting away bread crumbs to symbolize renewal. Family gatherings and festive meals are also common.
The holiday is only three days long, but some might be more interested in knowing if they can make money during Rosh Hashanah than the festivities.
The question is: how does the stock market perform during Rosh Hashanah? Can we develop a Rosh Hashanah trading strategy?
Rosh Hashanah Trading Strategy – Backtest
The trading rules of the strategy are very simple:
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We buy and hold the SPX only during Rosh Hashanah.
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For example, in 2023, Rosh Hashanah was from the afternoon of Friday, September 15, to the afternoon of Sunday, September 17.
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In this case, we only held the position during Friday (we buy at the close of the Thursday). If it hadn’t been weekend, we would have held them until the 17th.
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Let’s look at how the trading rules performed for S&P 500. The data is adjusted for dividends and splits. Here is the equity curve:
The returns are negative. The compounded return was -15.73%.
Until the 1940 the Rosh Hashanah was very bearish, but after that and for SIXTY year the strategy did OK for holding only 3 days of the year. However, after the 2000 the returns became negative again.
Rosh Hashanah Trading Strategy – Conclusion
To sum up, today you learned what Rosh Hashanah is and how does the SPX perform during that timeframe.
As we saw, it was not good. It seems like the Jewish New Year doesn’t hold any significant seasonality.
Rosh Hashanah Trading Strategy – Code
We have the Python code ready-made for you:
