Thanksgiving week has tended to be bullish. Over the past 50 years, the S&P 500 Index (SPX) has gained on average 0.54% during the week with 68% of the returns positive. Other weeks average a gain of 0.16% and positive 56% of the time.
The Wednesday before Thanksgiving has been positive 78% of the time averaging a gain of 0.30%. The day after Thanksgiving has averaged a 0.22% return over the past 50 years and has been positive 66% of the time.