Test Halloween Effect on Eurostoxx 50 last 20 years

Test Halloween Effect on Eurostoxx 50 last 20 years

Philipp Schroeder
2017-06-30 08:27:23

Hello everyone,

I'm trying to test the halloween (sell in may and go away), January effect or different calendar, efficiency or other anomalies on the EuroStoxx 50 index for the last 20 years (daily close).
Does anyone have a clue on how to approach this (were to get 20y daily quote prices for euro stoxx 50)?
Thank you very much in advance!
Phil

QuantShare
2017-07-01 04:44:08

The Yahoo ticker symbol for that index is $STOXX50E

Regarding the code and for the "sell in may...", you can type something like:
sell = month() > 4 and month() <= 10;
buy = !sell;

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