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Docs: consolidate exec summaries at root; fix links in README and Thanksgiving docs; remove duplicate Santa summaries; update project structure; add Santa links under Results & Findings; dedupe Additional Resources.\n\nWhy: Align docs with themed structure, avoid duplication, ensure link integrity.\nWhat: README updates; link fixes in _thanks/ANALYSIS_* and comparison doc; content cleanup in EXECUTIVE_SUMMARY_SANTA_RALLY*.\nHow: Updated paths to root exec summaries and themed analysis files; removed relocation notices; verified with ruff/black/mypy/pytest.\nTested: ruff, black --check, mypy, pytest (32 passed).
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EXECUTIVE_SUMMARY.md

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open data/outputs/ranking.html
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# Read detailed analysis reports
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cat ANALYSIS_SP500_25YEARS.md # S&P 500 comprehensive report
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cat ANALYSIS_NASDAQ100_25YEARS.md # NASDAQ-100 comprehensive report
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cat ANALYSIS_25YEARS.md # DJIA comprehensive report
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cat _thanks/ANALYSIS_SP500_25YEARS.md # S&P 500 comprehensive report
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cat _thanks/ANALYSIS_NASDAQ100_25YEARS.md # NASDAQ-100 comprehensive report
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cat _thanks/ANALYSIS_25YEARS.md # DJIA comprehensive report
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```
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### Future Enhancements (Optional)
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## Key Reports Available
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- **ANALYSIS_SP500_25YEARS.md** - S&P 500 comprehensive analysis (5,756 observations, 244 stocks from 270-stock representative sample)
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- **ANALYSIS_NASDAQ100_25YEARS.md** - NASDAQ-100 comprehensive analysis (1,818 observations, 80 stocks)
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- **ANALYSIS_25YEARS.md** - DJIA comprehensive 25-year historical analysis (719 observations, 30 stocks)
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- **ANALYSIS_SP500_25YEARS.md** - S&P 500 comprehensive analysis (5,756 observations, 244 stocks from 270-stock representative sample) — see _thanks/ANALYSIS_SP500_25YEARS.md
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- **ANALYSIS_NASDAQ100_25YEARS.md** - NASDAQ-100 comprehensive analysis (1,818 observations, 80 stocks) — see _thanks/ANALYSIS_NASDAQ100_25YEARS.md
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- **ANALYSIS_25YEARS.md** - DJIA comprehensive 25-year historical analysis (719 observations, 30 stocks) — see _thanks/ANALYSIS_25YEARS.md
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- **EXECUTIVE_SUMMARY.md** - This cross-index stakeholder summary
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- **README.md** - Technical documentation and usage guide
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EXECUTIVE_SUMMARY_CS.md

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**Repository:** https://github.com/lieblm/thanksgiving-alpha
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**Klíčové reporty:**
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- `ANALYSIS_SP500_25YEARS.md` - Komplexní analýza S&P 500
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- `ANALYSIS_NASDAQ100_25YEARS.md` - Komplexní analýza NASDAQ-100
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- `ANALYSIS_25YEARS.md` - Komplexní analýza DJIA
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- `_thanks/ANALYSIS_SP500_25YEARS.md` - Komplexní analýza S&P 500
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- `_thanks/ANALYSIS_NASDAQ100_25YEARS.md` - Komplexní analýza NASDAQ-100
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- `_thanks/ANALYSIS_25YEARS.md` - Komplexní analýza DJIA
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- `EXECUTIVE_SUMMARY.md` - Anglická verze tohoto shrnutí
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- `README.md` - Technická dokumentace
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EXECUTIVE_SUMMARY_SANTA_RALLY.md

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# Santa Claus Rally: Executive Summary
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**Analysis Period:** 2000-2024 (25 years)
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**Trading Window:** Last 5 trading days of year + First 2 trading days of next year (7 days)
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**Author:** Martin Liebl (lieblm@gmail.com)
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**Date:** December 16, 2025
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---
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## What is the Santa Claus Rally?
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The Santa Claus Rally is a well-known stock market pattern where prices tend to rise during the final week of December and the first few days of January. This 7-day window spans the year-end boundary and has been studied by traders and researchers for decades.
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This analysis examines 25 years of data (2000-2024) across three major U.S. stock indices—DJIA (30 stocks), NASDAQ-100 (73 stocks), and S&P 500 (229 stocks)—to test whether this seasonal pattern holds up to rigorous statistical testing.
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---
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## Key Finding: Stronger Than Thanksgiving
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The Santa Claus Rally shows **statistically significant evidence** in 2 of 30 DJIA stocks (Disney +2.55%, JPMorgan +1.97%), making it **stronger than the Thanksgiving effect** which showed zero statistically significant stocks after correction. This suggests year-end positioning creates a more reliable seasonal pattern for specific large-cap value stocks.
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---
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## Cross-Index Results Summary
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| Index | Stocks | Observations | Coverage | Significant Stocks | Top Performer |
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|-------|--------|--------------|----------|-------------------|---------------|
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| **DJIA** | 30 | 718 | 95.7% | **2*** | DIS (+2.55%) |
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| **NASDAQ-100** | 73 | 1,898 | 78.8% | 0 | MU (+3.69%) |
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| **S&P 500** | 229 | 5,475 | 88.9% | 0 | CF (+3.84%) |
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*Statistically significant after Benjamini-Hochberg FDR correction (α=0.05)
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---
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## Statistical Significance Winners
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### DIS (Walt Disney) ⭐
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- **Median Return:** +2.55%
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- **Win Rate:** 72% (18 of 25 years)
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- **p-value:** 0.037 (significant after correction)
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- **Sharpe Ratio:** 0.631
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- **Sector:** Consumer Discretionary

EXECUTIVE_SUMMARY_SANTA_RALLY_CS.md

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# Santa Claus Rally: Souhrnné shrnutí
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**Období analýzy:** 2000-2024 (25 let)
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**Obchodní okno:** Posledních 5 obchodních dnů roku + První 2 obchodní dny nového roku (7 dnů)
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**Autor:** Martin Liebl (lieblm@gmail.com)
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**Datum:** 16. prosince 2025
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---
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## Co je Santa Claus Rally?
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Santa Claus Rally je známý burzovní vzorec, kdy ceny akcií mají tendenci růst během posledního týdne prosince a prvních několika dnů ledna. Toto 7denní okno překlenuje konec roku a je zkoumáno obchodníky a výzkumníky již desetiletí.
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Tato analýza zkoumá 25 let dat (2000-2024) napříč třemi hlavními americkými akciovými indexy—DJIA (30 akcií), NASDAQ-100 (73 akcií) a S&P 500 (229 akcií)—aby otestovala, zda tento sezónní vzorec obstojí při přísném statistickém testování.
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---
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## Klíčové zjištění: Silnější než Thanksgiving
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Santa Claus Rally vykazuje **statisticky významné důkazy** u 2 z 30 akcií DJIA (Disney +2,55%, JPMorgan +1,97%), což z něj činí **silnější efekt než Thanksgiving**, který po korekci nevykazoval žádné statisticky významné akcie. To naznačuje, že pozice ke konci roku vytvářejí spolehlivější sezónní vzorec pro specifické velké hodnotové akcie.
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---
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## Souhrn výsledků napříč indexy
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| Index | Akcie | Pozorování | Pokrytí | Významné akcie | Nejlepší výkon |
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|-------|-------|------------|---------|----------------|----------------|
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| **DJIA** | 30 | 718 | 95,7% | **2*** | DIS (+2,55%) |
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| **NASDAQ-100** | 73 | 1 898 | 78,8% | 0 | MU (+3,69%) |
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| **S&P 500** | 229 | 5 475 | 88,9% | 0 | CF (+3,84%) |
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*Statisticky významné po Benjamini-Hochberg FDR korekci (α=0,05)
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README.md

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3. **Santa Claus Rally Window** (Year-End): Last 5 trading days of year → First 2 trading days of next year (7 days)
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See comparative analyses:
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- **[COMPARISON_CYBER_MONDAY_VS_THANKSGIVING.md](COMPARISON_CYBER_MONDAY_VS_THANKSGIVING.md)**
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- **[COMPARISON_CYBER_MONDAY_VS_THANKSGIVING.md](_thanks/COMPARISON_CYBER_MONDAY_VS_THANKSGIVING.md)**
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- **[EXECUTIVE_SUMMARY_SANTA_RALLY.md](EXECUTIVE_SUMMARY_SANTA_RALLY.md)** | **[Czech version](EXECUTIVE_SUMMARY_SANTA_RALLY_CS.md)**
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**Key Findings from 25-Year Multi-Index Analysis (2000-2024):**
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- **10 of 374 stocks (2.8%)** show statistical significance after FDR correction
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- **UNH strongest signal:** p=0.001 (DJIA), 84% win rate, +2.80% median return
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- **Extended window captures e-commerce momentum** (Cyber Monday online shopping surge)
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- See comprehensive report: **[COMPREHENSIVE_CYBER_MONDAY_ANALYSIS.md](COMPREHENSIVE_CYBER_MONDAY_ANALYSIS.md)**
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- See comprehensive report: **[COMPREHENSIVE_CYBER_MONDAY_ANALYSIS.md](_cyberm/COMPREHENSIVE_CYBER_MONDAY_ANALYSIS.md)**
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### Santa Claus Rally Window (Year-End Analysis)
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- **332 unique stocks** analyzed with **8,091 stock-year observations**
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- **Universal Champion:** MNST (Monster Beverage) shows 84% win rate across all three indices
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- **Sector Patterns:** Technology/semiconductors dominate top performers, traditional banking underperforms
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See comprehensive reports: `EXECUTIVE_SUMMARY.md`, `ANALYSIS_SP500_25YEARS.md`, `ANALYSIS_NASDAQ100_25YEARS.md`, `ANALYSIS_25YEARS.md`
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See comprehensive reports: `EXECUTIVE_SUMMARY.md`, `_thanks/ANALYSIS_SP500_25YEARS.md`, `_thanks/ANALYSIS_NASDAQ100_25YEARS.md`, `_thanks/ANALYSIS_25YEARS.md`
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## Usage
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│ └── yahoo.py # Yahoo Finance implementation
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├── tests/ # Unit tests (28 tests)
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├── data/outputs/ # Generated results (gitignored)
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├── EXECUTIVE_SUMMARY.md # Cross-index stakeholder overview
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├── ANALYSIS_SP500_25YEARS.md # S&P 500 comprehensive report
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├── ANALYSIS_NASDAQ100_25YEARS.md # NASDAQ-100 comprehensive report
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├── ANALYSIS_25YEARS.md # DJIA comprehensive report
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├── EXECUTIVE_SUMMARY.md # Cross-index stakeholder overview (English)
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├── EXECUTIVE_SUMMARY_CS.md # Cross-index stakeholder overview (Czech)
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├── EXECUTIVE_SUMMARY_SANTA_RALLY.md # Santa Rally executive summary (English)
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├── EXECUTIVE_SUMMARY_SANTA_RALLY_CS.md # Santa Rally executive summary (Czech)
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├── _thanks/ # Thanksgiving-themed comprehensive reports
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│ ├── ANALYSIS_SP500_25YEARS.md # S&P 500 comprehensive report
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│ ├── ANALYSIS_NASDAQ100_25YEARS.md # NASDAQ-100 comprehensive report
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│ ├── ANALYSIS_25YEARS.md # DJIA comprehensive report
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│ └── COMPARISON_CYBER_MONDAY_VS_THANKSGIVING.md # Window comparison doc
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├── _cyberm/ # Cyber Monday comprehensive analysis
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│ └── COMPREHENSIVE_CYBER_MONDAY_ANALYSIS.md
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├── _santa/ # Santa Rally analysis and outputs
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│ ├── ANALYSIS_SANTA_RALLY_COMPARISON.md
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│ └── (outputs) djia/nasdaq100/sp500 Santa Rally run logs
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├── STATISTICAL_RESULTS_SUMMARY.md # Statistical testing documentation
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└── REFERENCES.md # Academic citations
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```
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### Thanksgiving Window (Traditional Black Friday)
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- **[EXECUTIVE_SUMMARY.md](EXECUTIVE_SUMMARY.md)** - Cross-index stakeholder overview (354 stocks, 8,293 observations)
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- **[ANALYSIS_SP500_25YEARS.md](ANALYSIS_SP500_25YEARS.md)** - S&P 500 detailed analysis (244 stocks, 5,756 observations)
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- **[ANALYSIS_NASDAQ100_25YEARS.md](ANALYSIS_NASDAQ100_25YEARS.md)** - NASDAQ-100 detailed analysis (80 stocks, 1,818 observations)
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- **[ANALYSIS_25YEARS.md](ANALYSIS_25YEARS.md)** - DJIA detailed analysis (30 stocks, 719 observations)
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- **[ANALYSIS_SP500_25YEARS.md](_thanks/ANALYSIS_SP500_25YEARS.md)** - S&P 500 detailed analysis (244 stocks, 5,756 observations)
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- **[ANALYSIS_NASDAQ100_25YEARS.md](_thanks/ANALYSIS_NASDAQ100_25YEARS.md)** - NASDAQ-100 detailed analysis (80 stocks, 1,818 observations)
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- **[ANALYSIS_25YEARS.md](_thanks/ANALYSIS_25YEARS.md)** - DJIA detailed analysis (30 stocks, 719 observations)
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- **[STATISTICAL_RESULTS_SUMMARY.md](STATISTICAL_RESULTS_SUMMARY.md)** - Statistical significance testing results
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### Cyber Monday Window (Extended to Monday)
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- **[COMPREHENSIVE_CYBER_MONDAY_ANALYSIS.md](COMPREHENSIVE_CYBER_MONDAY_ANALYSIS.md)** - Complete Cyber Monday analysis (374 stocks, 8,510 observations, 10 significant)
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- **[COMPARISON_CYBER_MONDAY_VS_THANKSGIVING.md](COMPARISON_CYBER_MONDAY_VS_THANKSGIVING.md)** - Side-by-side comparison of both trading windows
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### Santa Claus Rally Window (Year-End)
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- **[EXECUTIVE_SUMMARY_SANTA_RALLY.md](EXECUTIVE_SUMMARY_SANTA_RALLY.md)** | **[Czech](EXECUTIVE_SUMMARY_SANTA_RALLY_CS.md)** - DJIA shows statistical significance (DIS, JPM)
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- **[ANALYSIS_SANTA_RALLY_COMPARISON.md](_santa/ANALYSIS_SANTA_RALLY_COMPARISON.md)** - Cross-index Santa vs. Thanksgiving comparison
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### Additional Resources
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- **[COMPREHENSIVE_CYBER_MONDAY_ANALYSIS.md](_cyberm/COMPREHENSIVE_CYBER_MONDAY_ANALYSIS.md)** - Full Cyber Monday analysis
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- **[COMPARISON_CYBER_MONDAY_VS_THANKSGIVING.md](_thanks/COMPARISON_CYBER_MONDAY_VS_THANKSGIVING.md)** - Thanksgiving vs. Cyber Monday comparison
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- **[REFERENCES.md](REFERENCES.md)** - Academic citations and methodology references
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**Top Performers Across All Indices (2000-2024):**
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1. **ENPH** (NASDAQ-100): +3.61% median return, 69% win rate - Highest return across all 354 stocks
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2. **SHOP** (S&P 500): +3.36% median return, 60% win rate - E-commerce leader
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3. **DE** (S&P 500): +3.08% median return, 64% win rate - Deere & Company (industrials)
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4. **PANW** (S&P 500, NASDAQ-100): +3.05% median return, 69% win rate - Cybersecurity
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5. **AVGO** (S&P 500, NASDAQ-100): +2.27% median return, 69% win rate - Semiconductors
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**Universal Champion:**
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- **MNST** (Monster Beverage): +2.02% median return, **84% win rate** across all three indices - Highest consistency
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**Sector Insights:**
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- **Technology/Semiconductors:** 6 of top 10 performers across all indices
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- **Consumer Discretionary:** Strong showing (SHOP, AMZN, HD) driven by Black Friday anticipation
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- **Traditional Banking:** Consistent underperformance (GS, JPM, WFC all negative)
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- **Payment Networks:** Vastly outperform banks (MA +2.17%, V +1.03%)
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## Disclaimer
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⚠️ **This tool is for research and educational purposes only.**

COMPREHENSIVE_CYBER_MONDAY_ANALYSIS.md renamed to _cyberm/COMPREHENSIVE_CYBER_MONDAY_ANALYSIS.md

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5. **Meneu, V., & Pardo, A. (2004).** "Pre-holiday effect, large trades and small investor behaviour." *Journal of Empirical Finance*, 11(2), 231-246.
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For complete references, see: [REFERENCES.md](REFERENCES.md) in main repository.
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For complete references, see: [REFERENCES.md](../REFERENCES.md) in main repository.
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**License:** MIT
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**Related Documents:**
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- [COMPARISON_CYBER_MONDAY_VS_THANKSGIVING.md](COMPARISON_CYBER_MONDAY_VS_THANKSGIVING.md) - Two-index comparison
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- [ANALYSIS_25YEARS.md](ANALYSIS_25YEARS.md) - DJIA Thanksgiving window (main branch)
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- [ANALYSIS_NASDAQ100_25YEARS.md](ANALYSIS_NASDAQ100_25YEARS.md) - NASDAQ-100 Thanksgiving window
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- [ANALYSIS_SP500_25YEARS.md](ANALYSIS_SP500_25YEARS.md) - S&P 500 Thanksgiving window
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- [EXECUTIVE_SUMMARY.md](EXECUTIVE_SUMMARY.md) - Cross-index synthesis
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- [STATISTICAL_RESULTS_SUMMARY.md](STATISTICAL_RESULTS_SUMMARY.md) - Statistical methodology
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- [COMPARISON_CYBER_MONDAY_VS_THANKSGIVING.md](../_thanks/COMPARISON_CYBER_MONDAY_VS_THANKSGIVING.md) - Two-index comparison
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- [ANALYSIS_25YEARS.md](../_thanks/ANALYSIS_25YEARS.md) - DJIA Thanksgiving window (main branch)
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- [ANALYSIS_NASDAQ100_25YEARS.md](../_thanks/ANALYSIS_NASDAQ100_25YEARS.md) - NASDAQ-100 Thanksgiving window
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- [ANALYSIS_SP500_25YEARS.md](../_thanks/ANALYSIS_SP500_25YEARS.md) - S&P 500 Thanksgiving window
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- [EXECUTIVE_SUMMARY.md](../EXECUTIVE_SUMMARY.md) - Cross-index synthesis
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- [STATISTICAL_RESULTS_SUMMARY.md](../_thanks/STATISTICAL_RESULTS_SUMMARY.md) - Statistical methodology
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**Citation:**
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```
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*This analysis is provided for research and educational purposes only. Not financial advice. See Section 10.4 for complete disclaimers. Always consult qualified professionals before making investment decisions.*
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*This analysis is provided for research and educational purposes only. Not financial advice. See Section 10.4 for complete disclaimers. Always consult qualified professionals before making investment decisions.*
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# Executive Summary: Santa Claus Rally (2000–2024)
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**Window:** Last 5 trading days of December + first 2 trading days of January (7 days total)
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**Method:** Wilcoxon signed-rank test with Benjamini–Hochberg FDR correction (α=0.05)
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---
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## Key Takeaways
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- **Effect Strength:** Stronger than Thanksgiving. **DJIA shows 2 significant stocks** after FDR correction (DIS, JPM). NASDAQ-100 and S&P 500 show none post-correction.
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- **Winners:**
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- **DIS (Disney):** +2.55% median, 72% win rate, corrected p≈0.037
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- **JPM (JPMorgan):** +1.97% median, 72% win rate, corrected p≈0.037
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- **Sector Leaders:** Financials and semiconductors dominate top performers; consumer discretionary strong (retail/entertainment).
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- **Broad Positivity:** 81.7% of S&P 500 stocks exhibit positive median returns over the Santa window.
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---
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## Index Snapshots
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- **DJIA:** 30 stocks, 718 observations; strong consistency and lower volatility; significance driven by fewer tests and large-cap value tilt.
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- **NASDAQ-100:** 73 stocks, 1,898 observations; strong semiconductor performance but no stocks significant after BH.
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- **S&P 500:** 229 stocks, 5,475 observations; broader effect but significance diluted by multiple testing.
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---
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## Strategies
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- **Conservative:** Focus on DIS and JPM (DJIA) for ~2.0–2.5% expected returns.
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- **Balanced:** Mix of top performers with 65%+ win rates (MU, AMAT, SCHW, COF, LULU, ROST).
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- **Aggressive:** Sector baskets (Financials, Tech—Semiconductors, Energy), expecting ~1.0–2.5% over 7 days.
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---
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## Limitations
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- Survivorship bias (current constituents only).
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- Limited per-stock observations (n≈25).
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- Multiple testing penalty increases with index breadth.
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- Transaction costs/slippage not modeled.
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---
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## For More Information
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- Detailed results: See **ANALYSIS_SANTA_RALLY_COMPARISON.md** in this folder.
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- Project overview: See README.md at repo root.
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- Methodology and citations: See STATISTICAL_RESULTS_SUMMARY.md.
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---
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**Generated by:** Thanksgiving-Alpha v1.0.1
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**Contact:** Martin Liebl (lieblm@gmail.com)
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# Výkonný Souhrn: Santa Claus Rally (2000–2024)
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**Okno:** Posledních 5 obchodních dnů v prosinci + první 2 obchodní dni v lednu (celkem 7 dnů)
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**Metoda:** Wilcoxonův párový test s Benjamini–Hochberg korekcí (α=0.05)
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---
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## Klíčové Závěry
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- **Síla efektu:** Silnější než Den díkůvzdání. **DJIA má 2 statisticky významné akcie** po FDR korekci (DIS, JPM). NASDAQ-100 a S&P 500 nemají žádné statisticky významné akcie po korekci.
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- **Vítězové:**
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- **DIS (Disney):** medián +2.55 %, úspěšnost 72 %, korigované p≈0.037
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- **JPM (JPMorgan):** medián +1.97 %, úspěšnost 72 %, korigované p≈0.037
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- **Sektoroví lídři:** Finanční sektor a polovodiče dominují; spotřební diskreční sektor (maloobchod/zábava) silný.
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- **Široká pozitivita:** 81.7 % akcií v S&P 500 vykazuje kladné mediánové výnosy během Santa okna.
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---
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## Přehled Indexů
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- **DJIA:** 30 akcií, 718 pozorování; stabilní konzistence a nižší volatilita; význam dáno menším počtem testů a hodnotovým zaměřením.
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- **NASDAQ-100:** 73 akcií, 1,898 pozorování; silné výsledky polovodičů, ale žádné akcie statisticky významné po BH korekci.
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- **S&P 500:** 229 akcií, 5,475 pozorování; širší efekt, ale statistický význam oslaben vícečetným testováním.
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---
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## Strategie
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- **Konzervativní:** Zaměřit se na DIS a JPM (DJIA) s očekávaným výnosem ~2.0–2.5 %.
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- **Vyvážená:** Mix top výkonů s úspěšností 65 %+ (MU, AMAT, SCHW, COF, LULU, ROST).
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- **Agresivní:** Sektorové koše (Finanční, Technologie—Polovodiče, Energie), očekávání ~1.0–2.5 % za 7 dní.
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---
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## Omezení
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- Bias přežití (pouze současné konstituenty).
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- Omezený počet pozorování na akcii (n≈25).
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- Penalizace vícečetného testování roste se šíří indexu.
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- Transakční náklady/slippage nejsou modelovány.
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---
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## Více Informací
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- Detailní výsledky: Viz **ANALYSIS_SANTA_RALLY_COMPARISON.md** v této složce.
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- Přehled projektu: Viz README.md v kořeni repozitáře.
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- Metodika a citace: Viz STATISTICAL_RESULTS_SUMMARY.md.
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---
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**Generováno:** Thanksgiving-Alpha v1.0.1
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**Kontakt:** Martin Liebl (lieblm@gmail.com)

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