Calendar · daily rule · Sectors
Halloween Indicator on Materials Select Sector ETF
What the play says
XLB with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of $10,000 since 2005
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding XLB over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +9.3% | +8.1% | +9.6% | +6.1% |
| Total return | +592% | +442% | +58% | +34% |
| Worst drawdown | −37.1% | −59.8% | −21.6% | −24.7% |
| Volatility | 16.6% | 23.1% | 13.8% | 19.1% |
| Sharpe ratio | 0.51 | 0.38 | 0.46 | 0.21 |
| Time invested | 49% | 100% | ||
| Switches per year | 2.0 | 0 |
Every call, graded
Right on 25 of 43 closed calls (58%). In calls averaged +8.9%; out calls saw XLB move +0.7% on average.
| Called | Call | Price | Until | XLB moved | Result |
|---|---|---|---|---|---|
| Apr 30, 2026 | OUT | $51.04 | now | −2.6% | open |
| Oct 31, 2025 | IN | $42.07 | Apr 30, 2026 | +21.3% | ✓ right |
| Apr 30, 2025 | OUT | $40.80 | Oct 31, 2025 | +3.1% | ✕ wrong |
| Oct 31, 2024 | IN | $44.97 | Apr 30, 2025 | −9.3% | ✕ wrong |
| Apr 30, 2024 | OUT | $42.29 | Oct 31, 2024 | +6.3% | ✕ wrong |
| Oct 31, 2023 | IN | $35.91 | Apr 30, 2024 | +17.8% | ✓ right |
| Apr 28, 2023 | OUT | $37.66 | Oct 31, 2023 | −4.7% | ✓ right |
| Oct 31, 2022 | IN | $34.26 | Apr 28, 2023 | +9.9% | ✓ right |
| Apr 29, 2022 | OUT | $38.84 | Oct 31, 2022 | −11.8% | ✓ right |
| Oct 29, 2021 | IN | $38.54 | Apr 29, 2022 | +0.8% | ✓ right |
| Apr 30, 2021 | OUT | $37.27 | Oct 29, 2021 | +3.4% | ✕ wrong |
| Oct 30, 2020 | IN | $28.10 | Apr 30, 2021 | +32.6% | ✓ right |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 12 of 44 calls shown.
How the play works
- In at the close on the last trading day of October.
- Out at the close on the last trading day of April.
The research used market indexes. Applying it to one stock assumes the season carries over.
The case against
Valeriy Zakamulin tested moving-average timing on up to 155 years of U.S. stock data and found no statistically significant edge in the second half of that record. The rules earned their keep in a few severe bear markets and lagged buy and hold for long stretches in between.