Seasonality · Full analysis
Deep-dive research view. Use this for context and monitoring, not as a standalone trigger.
ES
Seasonality
SPX monthly seasonality (Yahoo history)
Seasonal tendency leans negative in the current month window.
Strong but Unreliable
Seasonality is tertiary for ES and is used as a tie-breaker, not a primary signal.
Secondary context · current month
- Month
- Sep
- Avg month
- -1.29%
- Hit rate
- 47%
- Sample
- 15y
Key insight
Seasonal tendency leans negative in the current month window. Current month tendency should be weighed against broader macro context.
Data diagnostics
Status: Historical sample
Seasonality is based on completed historical observations.
Seasonality is a historical tendency layer.
Yahoo · SPX · report 2026-09-14
Historical context
15 completed same-month observations
Same-month returns
Shows how this market performed during the same calendar month across the historical sample.
+3.53%
Latest observation
2025
Return: +3.53%
Result: Positive month
Latest completed September (2025): +3.53%
Month average is -2.34pp vs long-term average.
Cumulative same-month bias
Seasonality trend
Shows whether the same-month tendency has strengthened or weakened over time.
Avg same-month return: -1.29%
Latest observation
Year: 2025
Cumulative same-month return: -19.36%
Seasonal tendency strengthening
Seasonal tendency leans negative in the current month window.
Current month vs sample
Seasonal edge strength
Shows how strong the current month's average return is compared with other months.
-1.29% avg · 47% hit rate
Latest observation
Current month: Sep
Average return: -1.29%
Hit rate: 47%
Sample: 15y
Negative tendency. Secondary context.
Current state · details remain visible on touch
Weak month ← Neutral → Strong month
Seasonality state
State: Strong but Unreliable
Avg return: -1.29% · Hit rate: 47% · Sample: 15y
Average return is large (-1.29%) but consistency is weaker (47% hit rate, 15 years).
Implication: Seasonality signal is meaningful but unstable; treat as a secondary bias modifier, not a standalone edge.
Breakdown
Month: Sep
Avg month: -1.29%
Hit rate: 47%
Sample: 15y
Interpretation
What is happening: Sep has produced an average return of -1.29% across 15y, with a 47% hit rate.
What it implies: Seasonality is supportive when positive and reliable, but should be used as secondary confirmation rather than a primary driver.
What to watch: If rates or positioning conflict with seasonality, downgrade seasonality in importance.
Context
Short term: Use the latest weekly/daily change as tactical pressure.
Medium term: Watch persistence of this factor across updates before treating it as structural.
Source: Yahoo · updated 2026-09-14
How to read this
Expand Seasonality explainability guide
- - Seasonality measures how the market has historically performed during the current calendar month.
- - Average return shows the average move during that month across the sample.
- - Hit rate shows how often the month closed positive.
- - Sample size shows how many years are included.
- - A strong and reliable seasonal reading can support a bias, but it should not override rates, positioning, or price action.
- - Seasonality is a context modifier, not a standalone signal.