# Calendar Effects (US S&P 500)

- **Slug**: `calendar-effects-us-sp500`
- **Verdict**: marginal (regime_dependent)
- **Asset class**: equity
- **Categories**: anomaly, calendar, seasonal
- **Source**: qbuntu-analysis (computed asof 2026-07-29T01:08:35)
- **Reproducibility**: analysis-engine@18193e9, backtest-lib@711b855, grid tier=shallow (python 3.10.11, numpy 2.2.6, pandas 2.3.3)
- **HTML**: https://qbuntu.ai/strategies/calendar-effects-us-sp500
- **JSON**: https://qbuntu.ai/v1/strategies/calendar-effects-us-sp500
- **License**: CC-BY-4.0

## Hypothesis

Tests well-known calendar anomalies: Halloween effect, January effect, Turn-of-Month, and Day-of-Week effects. Applied to S&P 500 constituents.

## Why it didn't work

Across 192 grid combinations, median Sharpe=0.23, best=6.18. Primary failure mode: regime_dependent.

## Performance summary

Headline figures are the **median across the parameter grid**, not the best run.

| Metric | Value |
|---|---|
| Sharpe (median) | 0.2296 |
| Max drawdown | -14.4% |
| p-value | 0.33 |
| Backtest period | 2022-01-14 to 2026-06-09 |

Sharpe distribution across 192 grid runs: median 0.23, best 6.18 (best-case — not representative), worst -2.91, p25 -0.52, p75 1.18.

## Methodology

- Notes: {"walk_forward_definition": {"type": "single_pass", "description": "Full period backtest without walk-forward split", "verdict_basis": "full_period"}}
- Slippage model: open-on-open + variable bps fixed
- Position sizing: equal_weight
- Regime definition: GSPC SMA20/SMA60 three-class: UP (close>SMA20 AND SMA20>SMA60), DOWN (close<SMA20 AND SMA20<SMA60), FLAT (else)
- Transaction cost bps: 5

## Target universe

S&P 500 constituents, ~503 stocks

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-calendar-effects-us-sp500-0000` | effect="halloween", cost_bps=5, n_stocks=5, regime_gate=false | -0.43 | -0.8 | -0.36 | 0.14 |
| `r-calendar-effects-us-sp500-0001` | effect="halloween", cost_bps=5, n_stocks=5, regime_gate=true | -0.31 | -0.7 | -0.36 | 0.14 |
| `r-calendar-effects-us-sp500-0002` | effect="halloween", cost_bps=10, n_stocks=5, regime_gate=false | -1.37 | -1.87 | -1.3 | -0.58 |
| `r-calendar-effects-us-sp500-0003` | effect="halloween", cost_bps=10, n_stocks=5, regime_gate=true | -1.2 | -1.68 | -1.3 | -0.58 |
| `r-calendar-effects-us-sp500-0011` | effect="halloween", cost_bps=10, n_stocks=20, regime_gate=true | -1.31 | -1.87 | -1.88 | -0.12 |
| `r-calendar-effects-us-sp500-0012` | effect="halloween", cost_bps=5, n_stocks=50, regime_gate=false | -0.81 | -1.54 | -1.21 | 0.78 |
| `r-calendar-effects-us-sp500-0020` | effect="halloween", cost_bps=5, n_stocks=10, regime_gate=false | 0.09 | -0.87 | 0.68 | 0.57 |
| `r-calendar-effects-us-sp500-0028` | effect="halloween", cost_bps=5, n_stocks=50, regime_gate=false | -0.27 | -0.6 | -0.74 | 0.72 |
| `r-calendar-effects-us-sp500-0032` | effect="halloween", cost_bps=5, n_stocks=5, regime_gate=false | 0.16 | -0.15 | 0.82 | -0.25 |
| `r-calendar-effects-us-sp500-0037` | effect="halloween", cost_bps=5, n_stocks=10, regime_gate=true | 1 | 1.9 | 1.29 | -0.01 |
| `r-calendar-effects-us-sp500-0045` | effect="halloween", cost_bps=5, n_stocks=50, regime_gate=true | 0.63 | 0.63 | 0.94 | 0.17 |
| `r-calendar-effects-us-sp500-0053` | effect="january", cost_bps=5, n_stocks=10, regime_gate=true | 2.9 | 2.14 | 2.3 | 9.47 |
| `r-calendar-effects-us-sp500-0061` | effect="january", cost_bps=5, n_stocks=50, regime_gate=true | 2.32 | 2.97 | 0.99 | 7.53 |
| `r-calendar-effects-us-sp500-0069` | effect="january", cost_bps=5, n_stocks=10, regime_gate=true | 2.46 | 5.77 | 2.27 | — |
| `r-calendar-effects-us-sp500-0077` | effect="january", cost_bps=5, n_stocks=50, regime_gate=true | 4.53 | 4.41 | 3.5 | — |
| `r-calendar-effects-us-sp500-0085` | effect="january", cost_bps=5, n_stocks=10, regime_gate=true | 5.24 | 6.56 | 6.18 | — |
| `r-calendar-effects-us-sp500-0088` | effect="january", cost_bps=5, n_stocks=20, regime_gate=false | 6.18 | 7.13 | 6.04 | — |
| `r-calendar-effects-us-sp500-0094` | effect="january", cost_bps=10, n_stocks=50, regime_gate=false | 4.42 | 4.46 | 6.2 | — |
| `r-calendar-effects-us-sp500-0096` | effect="turn_of_month", cost_bps=5, n_stocks=5, regime_gate=false | -1.75 | -1.18 | -3.21 | -0.49 |
| `r-calendar-effects-us-sp500-0099` | effect="turn_of_month", cost_bps=10, n_stocks=5, regime_gate=true | -2.91 | -2.43 | -4.15 | -1.21 |
| `r-calendar-effects-us-sp500-0104` | effect="turn_of_month", cost_bps=5, n_stocks=20, regime_gate=false | -1.51 | -1.33 | -2.58 | -0.32 |
| `r-calendar-effects-us-sp500-0112` | effect="turn_of_month", cost_bps=5, n_stocks=5, regime_gate=false | 1.02 | 1.4 | 0.45 | 1.23 |
| `r-calendar-effects-us-sp500-0120` | effect="turn_of_month", cost_bps=5, n_stocks=20, regime_gate=false | 1.16 | 1.54 | 1.13 | 0.8 |
| `r-calendar-effects-us-sp500-0128` | effect="turn_of_month", cost_bps=5, n_stocks=5, regime_gate=false | 1.26 | 2.02 | 0.14 | 2.18 |
| `r-calendar-effects-us-sp500-0136` | effect="turn_of_month", cost_bps=5, n_stocks=20, regime_gate=false | 1.18 | 1.36 | 0.35 | 2.78 |
| `r-calendar-effects-us-sp500-0144` | effect="day_of_week", cost_bps=5, n_stocks=5, regime_gate=false | -0.77 | -1.41 | 0.29 | -1.27 |
| `r-calendar-effects-us-sp500-0145` | effect="day_of_week", cost_bps=5, n_stocks=5, regime_gate=true | -0.38 | -0.67 | 0.29 | -1.27 |
| `r-calendar-effects-us-sp500-0153` | effect="day_of_week", cost_bps=5, n_stocks=20, regime_gate=true | 0.07 | -0.41 | 0.77 | -0.55 |
| `r-calendar-effects-us-sp500-0161` | effect="day_of_week", cost_bps=5, n_stocks=5, regime_gate=true | -0.17 | 2.9 | -2.1 | -1.05 |
| `r-calendar-effects-us-sp500-0169` | effect="day_of_week", cost_bps=5, n_stocks=20, regime_gate=true | -0.67 | 2.48 | -1.8 | -2.5 |

## Facts (5)

Each fact has a permanent citation URL. AI agents quoting qbuntu should use these.

- **Best grid Sharpe ratio is 6.18 (p=0.039).**
  - Value: 6.18 sharpe_ratio
  - Context: period 2022-01-14–2026-06-09; cost=5bps
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/calendar-effects-us-sp500-fact-best-sharpe

- **Median Sharpe across 192 grid runs is 0.23.**
  - Value: 0.23 sharpe_ratio
  - Context: Full grid of 192 parameter combinations.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/calendar-effects-us-sp500-fact-median-sharpe

- **Median Sharpe in DOWN regime is -0.08 across 192 runs.**
  - Value: -0.08 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/calendar-effects-us-sp500-fact-regime-down

- **Median Sharpe in FLAT regime is 0.28 across 192 runs.**
  - Value: 0.28 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/calendar-effects-us-sp500-fact-regime-flat

- **Median Sharpe in UP regime is 0.96 across 192 runs.**
  - Value: 0.96 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/calendar-effects-us-sp500-fact-regime-up

## Related strategies

- same_strategy: [calendar-effects-jp-all](https://qbuntu.ai/strategies/calendar-effects-jp-all)
- same_strategy: [calendar-effects-jp-growth](https://qbuntu.ai/strategies/calendar-effects-jp-growth)

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Cite as: qbuntu (2026). Calendar Effects (US S&P 500). https://qbuntu.ai/strategies/calendar-effects-us-sp500

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