Year-end last sessions long
This calendar strategy tests a year-end effect: the idea that NIFTY tends to rise over the final few sessions of December, sometimes called a Santa rally. It buys one lot of NIFTY futures at the close four sessions before the last trading day of the year and sells at that last day's close. There is no stop or target, and it trades just once a year.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
One year-end window, split into two positions by the December futures expiry, gives no real evidence about conditions. In this test the first part, held from 24 Dec 2025 into the expiry on 30 Dec while NIFTY fell more than 1%, lost ₹17,002. The second part, rolled into the next month for the final session as NIFTY rose more than 1%, made ₹10,647. The window as a whole lost money. A seasonal pattern can only be judged across many years, and this test covers just one.
About this strategy
- Find the last trading session of the calendar year from the exchange calendar.
- At the close of the session four sessions before it, buy one lot of the near-month NIFTY future.
- If the entry day is the December futures expiry, buy the next month's contract instead.
- If the December expiry falls during the hold, close at the expiry close and carry the position in the next month's contract.
- Sell at the close of the year's last session, or, with “Exit shift days” above zero, that many sessions into January. There is no stop or target.
Why traders use it
Studies of Indian index history have found that the last few sessions of December were positive in most years. Explanations offered include holiday optimism, light trading and positioning for the new year. The rule is simple and uses only the calendar, which makes it easy to test. Its weakness is equally simple: with one trade a year, it takes decades to know whether the pattern is real.
The year in plain words
The test period from 1 Oct 2025 to 30 Sep 2026 contains one year-end, December 2025. Because the December futures expiry fell inside the window, it was recorded as two positions: a ₹17,002 loss up to the expiry and a ₹10,647 gain in the next month's contract until the year's last close. Together that is a ₹6,355 loss before costs and ₹6,815 after ₹20 per order and bid-ask slippage. A single year cannot confirm or reject a seasonal pattern.
What the settings do
Risks
- One trade a year makes the result almost entirely a matter of chance over short periods.
- There is no stop loss, and the position is held overnight across holiday-thinned sessions.
- The December futures expiry often falls in the window, adding a roll and its costs.
- Past seasonal patterns can fade once they become widely known.
Who it suits
Traders interested in calendar effects who can hold one NIFTY futures lot for a few days with margin and who treat the strategy as a long-term experiment rather than a regular source of trades.
Questions traders ask
Is there a Santa rally in the Indian market?
Long-run studies have found that NIFTY rose over the final sessions of December in most years. Whether that continues is uncertain, and with one observation a year the evidence builds very slowly, so a few unusual years can swing the long-run average a lot.
Is the year-end long strategy profitable on NIFTY?
In this backtest from 1 Oct 2025 to 30 Sep 2026, covering one year-end, it lost ₹6,355 before costs and ₹6,815 after ₹20 per order and bid-ask slippage. One trade says little either way, and past results do not guarantee future ones.
Why are there two trades for one year-end?
The December monthly futures expiry fell inside the four-session window. The position was closed at the expiry and reopened in the next month's contract for the remaining session, so it appears as two separate trades.
Can the trade be held into January?
Yes. “Exit shift days” keeps the position open for up to three extra sessions in January, which also captures part of the turn-of-the-month period. That changes the test from a pure year-end effect into a mix of two calendar effects.