algorithmic-trading-anthology-july-2026-friday-the-13th-placebo

Conclusion: Placebo

A deliberately meaningless signal, run alongside the real ones. It found nothing, which is the result it was included to produce — had it scored, the whole screen would be suspect.

Events

occurrences

Sessions

14,260

daily

Effect

+0.00049

mean abnormal

0.663

shift null

Method

Hypothesis

Friday-13th / superstition dips

Rule

# daily frequency: this mechanism is invisible at monthly resolution

function test(returns, event_mask):

stat = mean(returns where event_mask) - mean(returns elsewhere)

# null: slide the event mask through the calendar, so any

# calendar structure in returns appears under the null too

null = [statistic(returns, roll(event_mask, k))

for k in all offsets, abs(k) >= 21 days]

p = (count(null beyond stat) + 1) / (len(null) + 1)

return stat, p

reject if Benjamini-Hochberg q <= 0.10 across the daily batch

Evaluation

Table 1 · Daily event study

Measure	Value
Trading sessions	14,260
Events	95
Mean abnormal return	+0.000493
Shift-test p (directional)	0.6629
Shift-test p (two-sided)	0.3656
BH q-value	—

+ 2 more rows− fewer rows

The null shifts the event mask through the calendar, so any calendar structure in returns appears under it too.

Reference

Instruments

last price and one-month change, live from Yahoo Finance

Symbol	Notes
see rule	Not in the instrument table.

Sample

14,260 trading sessions

Sources

NOAA Climate Prediction Center. Teleconnection indices. AO, NAO, PNA, SAM. www.cpc.ncep.noaa.gov/products/precip/CWlink/daily_ao_index/ao.shtml

NOAA National Hurricane Center. HURDAT2 Atlantic hurricane database. www.nhc.noaa.gov/data/#hurdat

Yahoo Finance. Historical market prices. Adjusted close, month-end. Retrieved with yfinance. finance.yahoo.com

Computed, not sourced

Moon phase computed analytically (synodic 29.530588 d)

Revision history

Rev	Stage	Status	Change
01	Draft	—	Direction and criteria fixed before the experiment ran
02	Tested	Placebo	Daily event study; corrected across the daily batch