Is there trading software that can identify and analyze similar trading days?

[tommcginnis]

TradeStation can do this. I do it a lot, and it's useful. For example, if you buy certain ETFs the last 2-3 days of the month and sell after a couple of days into the new month, it'll make about 6% per year on average. The trouble is...it doesn't do this 100% of the time. Over a year, it'll probably be profitable (based on the past 20+ years), but in any given 2-3 months, you may lose.

"Ooo-oo! Ooo-oooo!"
You could set up a spectrum/buckets arrangement just like I have above, set the conditions for "with-in X-days of end-of-month" and THEN[!!!] you could take THAT subset and test for seasonality!! Is it month related? End-of-year? Quarterly??? Woot!