Seasonality Analysis
Historical Prices Year-by-Year
Historical Returns (%) By Years/Months
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Min | Max | avg |
| 2026 | -18.98 | -22.09 | -2.47 | 40.29 | 14.58 | 10.73 | -12.31 | 4.11 | -2.82 | -22.09 | 40.29 | 1.23 | |||
| 2025 | 5.04 | -29.56 | 10.11 | 4.30 | 33.22 | -0.84 | 29.03 | -17.39 | -1.64 | -1.29 | 4.90 | -29.56 | 33.22 | 3.26 | |
| Summary | |||||||||||||||
| Avg Returns (%) | -18.98 | -8.53 | -16.02 | 25.20 | 9.44 | 21.98 | -6.58 | 16.57 | -10.11 | -1.64 | -1.29 | 4.90 | -18.98 | 25.20 | 1.25 |
| Max Pos Return (%) | -18.98 | 5.04 | -2.47 | 40.29 | 14.58 | 33.22 | -0.84 | 29.03 | -2.82 | -1.64 | -1.29 | 4.90 | -18.98 | 40.29 | 8.25 |
| Max Neg Return (%) | -18.98 | -22.09 | -29.56 | 10.11 | 4.30 | 10.73 | -12.31 | 4.11 | -17.39 | -1.64 | -1.29 | 4.90 | -29.56 | 10.73 | -5.76 |
| Pos Occurances (%) | 0 | 50 | 0 | 100 | 100 | 100 | 0 | 100 | 0 | 0 | 0 | 100 | 0 | 100 | 46 |
| Neg Occurance (%) | 100 | 50 | 100 | 0 | 0 | 0 | 100 | 0 | 100 | 100 | 100 | 0 | 0 | 100 | 54 |
- Treat this calendar as weak evidence. The first half of the sample and the second half rank-correlate -0.25 across the twelve months — the pattern that held early did not hold late, which is what noise looks like.
- Aug is the strongest month (edge 46/100, Weak): median +18.17%, mean +25.73%, higher in 5 of 6 years (83%), t = 1.95, p = 0.109.
- Feb is the weakest month (edge 50/100, Moderate): median -11.63%, mean -13.59%, lower in 5 of 6 years, t = -2.41, p = 0.061.
- Best stretch of the year is Jun–Nov: median +108.32% compounded, positive in 4 of 5 seasons (80%), p = 0.112.
- Worst stretch is Sep–Feb: median -41.87% compounded, positive in only 2 of 5 seasons (40%).
- We are in Sep, historically a -7.25% median month with a 40% hit rate. Month-to-date AFRM is -2.82% — ahead of the seasonal norm.
- Seasonal path from here: Oct +6.98% (60% hit), Oct–Dec +1.85% (60%), Oct–Mar -37.30% (40%) — medians of the compounded window return.
- The median seasonal year peaks around Dec at +36.84%, troughs around Apr at -36.63% and finishes the year at +26.88% (4 complete years).
- Best weekday is Monday at +0.609% a session (not significant); weakest is Wednesday at -0.000%.
- Turn-of-month (last 3 sessions plus first 3) averages +0.472% a session against +0.018% for the rest of the month — a +0.454% daily spread across 411 sessions.
- By quarter, Q3 is the best (median +35.12%, 100% positive) and Q1 the worst (median -25.80%).
- Risk is seasonal too: Feb is the most volatile month (109.4% annualised) and Apr the calmest (71.1%); participation peaks in Nov at +25% of the average month's volume.
- Twelve months were tested at once, so the 5% bar is really 0.0042 after a Bonferroni correction — no month clears it. With 6 seasons of data, seasonality is context, not a trade on its own.
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