Check out the trends in the following chart to see the history of Thanksgiving Week since 1960. I included the numbers for Tuesday in the chart for perspective, but the point totals and percentage gain columns apply only to the Wednesday-Friday numbers.
Year
Tuesday Before
Wednesday Before
Friday After
Total Gain S&P 500 Points
Total Percentage Gain
S&P 500 Close
1960
(0.21)
0.08
0.33
0.41
0.73%
56.13
1961
0.06
(0.08)
0.14
0.06
0.08%
71.84
1962
0.63
0.36
0.73
1.09
1.77%
61.54
1963
2.77
(0.13)
0.98
0.85
1.16%
73.23
1964
(0.27)
(0.29)
(0.28)
(0.57)
-0.67%
85.16
1965
0.14
0.16
0.09
0.25
0.27%
92.03
1966
(0.42)
0.54
0.64
1.18
1.46%
80.85
1967
1.45
0.55
0.25
0.80
0.85%
93.90
1968
0.78
0.50
0.61
1.11
1.02%
108.37
1969
(0.30)
0.33
0.54
0.87
0.93%
93.81
1970
0.54
0.31
0.84
1.15
1.34%
85.93
1971
0.63
0.17
1.61
1.78
1.94%
91.94
1972
0.68
0.69
0.37
1.06
0.90%
117.27
1973
(2.05)
1.10
(0.32)
0.78
0.78%
99.44
1974
0.64
0.47
0.03
0.50
0.71%
69.97
1975
1.01
0.23
0.30
0.53
0.58%
91.24
1976
0.63
0.45
0.74
1.19
1.15%
103.15
1977
0.84
0.40
0.20
0.60
0.62%
96.69
1978
(0.24)
0.47
0.31
0.78
0.81%
95.79
1979
(0.54)
0.20
0.78
0.98
0.94%
104.67
1980
1.02
0.84
0.35
1.19
0.85%
140.52
1981
1.91
0.54
1.04
1.58
1.26%
125.09
1982
(1.29)
0.95
1.00
1.95
1.45%
134.88
1983
0.79
0.12
0.22
0.34
0.20%
167.18
1984
1.09
0.33
2.41
2.74
1.64%
166.92
1985
0.32
1.87
0.37
2.24
1.11%
202.17
1986
0.72
0.60
0.45
1.05
0.42%
249.22
1987
3.40
(2.29)
(3.76)
(6.05)
-2.52%
240.34
1988
0.99
1.79
(1.77)
0.02
0.01%
267.23
1989
0.24
2.32
2.06
4.38
1.27%
343.97
1990
(4.03)
0.72
(0.93)
(0.21)
-0.07%
315.10
1991
2.62
(1.41)
(1.33)
(2.74)
-0.73%
375.22
1992
2.47
1.60
0.97
2.57
0.60%
430.16
1993
1.90
1.33
0.70
2.03
0.44%
463.06
1994
(8.21)
(0.16)
2.36
2.20
0.49%
452.29
1995
3.39
(1.84)
1.57
(0.27)
-0.05%
599.97
1996
(1.07)
(0.96)
2.02
1.06
0.14%
757.02
1997
4.15
0.82
3.76
4.58
0.48%
955.40
1998
(5.22)
3.88
5.46
9.34
0.78%
1192.33
1999
(16.30)
12.44
(0.46)
11.98
0.85%
1416.62
2000
4.73
(24.99)
19.41
(5.58)
-0.42%
1341.77
2001
(8.40)
(5.63)
13.31
7.68
0.67%
1150.34
2002
(19.56)
25.56
(2.56)
23.00
2.46%
936.31
2003
1.81
4.56
(0.25)
4.31
0.41%
1058.20
2004
(0.30)
4.82
0.89
5.71
0.48%
1182.65
2005
6.38
4.38
2.64
7.02
0.55%
1268.25
2006
2.31
3.28
(5.14)
(1.86)
-0.13%
1400.95
2007
6.43
(22.93)
23.93
1.00
0.07%
1440.70
2008
5.58
30.29
8.56
38.85
4.33%
896.24
2009
(0.59)
4.98
(23.36)
(18.38)
-1.69%
1087.27
2010
(17.11)
17.62
(8.95)
8.67
0.73%
1189.40
So, what does this all mean for Thanksgiving Week 2011? If you go with the history, a good strategy appears to come into the week long and exiting into any signs of strength on Friday. Be careful though, the super committee deadline to trim $1.2T from the budget comes up on Wednesday and all eyes are on the ECB to see how it will respond to the European debt crisis. It remains to be seen how the market will react to these events or non-events.