Is the Santa Claus Rally Real?

Not answerable for stocks. Real, and in the wrong asset, for metals.

The claim as it is usually statedDecember rallies — the Santa Claus effect lifts markets into year end.

The Almanac window is the last 5 trading days of December plus the first 2 of January. Tested on exactly that window, the Dow has just 9 observations and a 95% confidence interval running from 45% to 94% — it contains the claimed 80% and it contains a coin flip. What does show up is gold: up in 20 of 23 years over the same window, averaging +1.94% against a +0.33% baseline for any seven sessions. December also splits in two — gold runs −0.50% through the 15th and +1.49% after it, which is why testing December as one month finds nothing.

What the data shows

Across 19 markets: direction: not testable at this unit — this window comes round once a year, so the sample is 19 occurrences in the median market (5–24 across the nineteen), not the tens of thousands of hourly bars inside them · movement: bigger in only 6 of 19. Median movement in the window, 96% of a normal hour.

Market	In the window	Rest	Difference	Movement	Years
USD/JPY	48.6%	50.6%	-2.0 pp	120% of normal	21
EUR/USD	51.7%	49.8%	+1.9 pp	114% of normal	24
USD/CHF	47.8%	49.7%	-1.9 pp	95% of normal	17
SPX500	50.5%	52.3%	-1.8 pp	74% of normal	7
EUR/GBP	50.6%	48.9%	+1.7 pp	212% of normal	13
US30 (Dow)	50.2%	51.5%	-1.3 pp	79% of normal	13

No significance flag on a season, and here is why. This window comes round once a year. The tens of thousands of hourly bars inside it are not that many independent readings of it — the sample is 19 occurrences in the median market (5–24 across the nineteen). At that size nothing here can clear our bar: detecting the documented "sell in May" effect in EUR/USD would need about 41 years, and we hold 24. The percentages are real and worth reading as description; the column that would tell you they are proven is deliberately absent. What we will not publish →

Six largest differences, whichever way they point. There is no z column on a seasonal claim: it would be a significance flag on a window that recurs once a year, and this site does not print one.

Who says it

Stock Trader's Almanac definition · Fisher Investments (against)

How this was measured

Every claim here reduces to a window on the clock or the calendar, so it can simply be checked. We compare the claimed window against the rest of the week on 23 years of hourly data across 19 markets, measuring two separate things the folklore tends to conflate: direction (does the window close higher more often?) via a two-proportion z-test, and movement (is the average move bigger or smaller?). A window can be perfectly ordinary in direction and genuinely quieter in movement — saying which is the entire point.

The bar here is |z| ≥ 2, deliberately more lenient than the |z| ≥ 3 this site applies to its own numbers: when testing someone else's claim, failing to reject it even at a lenient bar is the stronger statement.

Check any hour yourself →

Free on the four major pairs, with the full 23 years and the sample size on every number.