SEA003Factor HubSeasonality FactorsMedium

Holiday Effect Factor

Pre-holiday sessions tend to carry a positive drift in sentiment.

Formula

Holiday = Pre_holiday_return - Post_holiday_return

Annualized return

4.96%

Sharpe ratio

0.35

Max drawdown

-32.39%

Total return

62.22%

Cumulative performance（2016-09 … 2026-08）

2016 -5.1%2017 -9.7%2018 -8.0%2019 +25.8%2020 +30.0%2021 +12.2%2022 +32.0%2023 -6.3%2024 -15.2%2025 +1.2%2026 +5.7%

#	Ticker	Company	Score
1	QCOM	Qualcomm	0.005
2	SMCI	Super Micro Computer	0.004
3	AMC	AMC Entertainment	0.004
4	ANET	Arista Networks	0.004
5	ETSY	Etsy	0.004
6	META	Meta Platforms	0.003
7	ORCL	Oracle	0.003
8	NVO	Novo Nordisk	0.003
9	CRM	Salesforce	0.003
10	NXPI	NXP Semiconductors	0.003
11	WDAY	Workday	0.003
12	AXP	American Express	0.003
13	BKNG	Booking Holdings	0.003
14	MOS	Mosaic	0.003
15	ZS	Zscaler	0.002
16	GOOGL	Alphabet	0.002
17	DVN	Devon Energy	0.002
18	INTU	Intuit	0.002
19	TXN	Texas Instruments	0.002
20	CMG	Chipotle Mexican Grill	0.002
21	PLTR	Palantir	0.002
22	TTD	The Trade Desk	0.002
23	GS	Goldman Sachs	0.002
24	PYPL	PayPal	0.002
25	HPQ	HP	0.002
26	CMCSA	Comcast	0.002
27	LULU	Lululemon Athletica	0.002
28	HD	Home Depot	0.002
29	MMM	3M	0.002
30	MPC	Marathon Petroleum	0.002

Holdings computed by the exact formula above at the latest month-end observation on the deterministic research panel (2026-08).

Exports include formulas, performance statistics, the 120-month series and current holdings — everything needed to replicate results locally.