Holiday Effect — SPY

Returns around exchange holidays — exchange-specific (NYSE/XETRA/LSE)

Methodology

Data Basis

  • Exchange-Erkennung: Exchange detection: Automatic by ticker (NYSE, XETRA, LSE, Crypto/FX=none)
  • Holidays: Dynamically calculated via holidays.js (Gaussian Easter, variable holidays)
  • Preisdaten: Price data: Supabase (Yahoo Finance), updated daily

NYSE Holidays (10)

  • New Year, MLK Day, Presidents Day, Good Friday, Memorial Day, Juneteenth, Independence Day, Labor Day, Thanksgiving, Christmas

XETRA Holidays (10)

  • New Year, Good Friday, Easter Monday, Labour Day, Whit Monday, German Unity Day, Christmas Eve, Christmas Day (1st+2nd), New Year's Eve

LSE Holidays (8)

  • New Year, Good Friday, Easter Monday, Early May BH, Spring BH, Summer BH, Christmas, Boxing Day

Calculation

  • t0: t0: First trading day on/after the holiday
  • Basis: Base: Close at t−N = 0% (normalization)
  • Fenster: Window: t−N to t+N trading days
  • Backtest: Backtest: See "Plain Vanilla Strategies" → UHTS (Kaeppel System)