Measuring Average Monthly Returns to Explore Market Seasonality

Summary

This indicator plots historical average returns for each calendar month using monthly price data. After a user selects a start month and year, it groups each month’s open-to-close changes across the available history and averages them. It displays the twelve monthly averages, with optional month labels, individual monthly lines, an overall comparison average, and percentage reference lines scaled to the strongest and weakest monthly results.

The measure represents a hypothetical long position opened at each month’s start and closed at its end, repeated across the sampled years. The document describes the graph’s controls and intended use for comparing months, but supplies no market-specific findings or evidence that seasonal patterns persist. Historical averages omit trading costs and risk, and a monthly chart with a chosen start date may provide an uneven sample; the indicator is descriptive rather than a validated strategy.

Key ideas

• The indicator groups monthly open-to-close changes by calendar month and averages them over a selected historical period.
• It can show each month separately, along with an overall average and scaled reference lines.
• Its monthly figures represent a hypothetical long position held from the start to the end of each month.
• Historical seasonal averages do not establish future performance or account for trading costs and risk.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.