Christmas in July

Looking at Yahoo finance ticker ^GSPC (S&P 500 Index).

The seasonal chart for July is typically strong.

Seasonal chart

Not as strong as the better known Santa Claus rally. However, as this VectorBT backtest shows. It was profitable 78% of 66 trades with the average winning trade better than the losers.

Will this July bring a Christmas present for the Southern Hemisphere?

Start                                                  0
End                                                24740
Period                               24741 days 00:00:00
Start Value                                        100.0
End Value                                    1737.109735
Total Return [%]                             1637.109735
Benchmark Return [%]                        42273.896065
Max Gross Exposure [%]                             100.0
Total Fees Paid                                      0.0
Max Drawdown [%]                               36.446456
Max Drawdown Duration                 3465 days 00:00:00
Total Trades                                          66
Total Closed Trades                                   66
Total Open Trades                                      0
Open Trade PnL                                       0.0
Win Rate [%]                                   78.787879
Best Trade [%]                                 64.309066
Worst Trade [%]                               -18.062015
Avg Winning Trade [%]                           8.164185
Avg Losing Trade [%]                           -5.468177
Avg Winning Trade Duration    91 days 09:13:50.769230769
Avg Losing Trade Duration              117 days 00:00:00
Profit Factor                                   8.173835
Expectancy                                     24.804693
Sharpe Ratio                                    0.523664
Calmar Ratio                                    0.118025
Omega Ratio                                     1.167953
Sortino Ratio                                   0.763042

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