Is There a January Effect?

By Lawrence G. McMillan

You’d have to be a pretty long-term subscriber to remember when we used to trade the January Effect. For a long time, it worked like a charm, but then traders started to anticipate the effect, shifting its time frame, and then it stopped working altogether – obliterated, it seems, by conflicting forces, seasonality, and changing market conditions. We haven’t traded it at all since 2005, and that was a losing effort; we haven’t traded it profitably since 2003. Later in this article, we’ll show the track record of all of the January Effect trades.

Last month, while at the Traders Expo in Las Vegas, I got into a discussion with some traders who felt that there is still a January Effect. So, I decided to do the research. This article resulted from that research...

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