Yearly Cycle — SPY
Seasonal Annual Projection · Monthly/Quarterly Performance · Significance
Methodology
Data Basis
- Normalisation: Each year starts at 100. Daily returns cumulate: value = 100 × exp(Σ log_return)
- Interpolation: Each yearly curve is interpolated to 365 calendar days
- Data Source Supabase (Yahoo Finance / Stooq)
Return Analysis
- Seasonal Annual Projection Average of normalised yearly curves
- Confidence Band (±1σ): Standard deviation around the average
- Percentile Bands: 25th/75th percentile (middle 50% of all years)
- Presidential Cycle Overlay: Avg. curve for Post-Election / Midterm / Pre-Election / Election only
- Detrend Indicator / Seasonal Pressure Removes the linear annual trend → pure seasonality on 0–100 scale (midline 50)
- Pressure Chart Sum of avg. daily returns over lookback periods 10/20/30/40/60/80 years, cumulated and smoothed
- Significance Gauges: t-test per month/quarter. p<0.05 = statistically significant (green)
- Best Match: Pearson correlation between the current year (to date) and the 4 cycle avg. curves + "All Years"
Drawdown & Volatility
Seasonal drawdown, rolling volatility and drawdown by presidential cycle can be found on the Risk Cycle page.