Trading around Thanksgiving has a bullish tendency perhaps buoyed by the “holiday spirit” that was first published in the 1987 Stock Trader’s Almanac. For 35 years prior to 1987, the Wednesday before and the Friday after Thanksgiving combined were up 34 times. The only S&P 500 decline was in 1964. 
Subsequently, this trend changed. In the 29 years since 1987, there have been 8 declines and 21 advances. The best short-term trade appears to be getting long into weakness on Monday or Tuesday of Thanksgiving week and selling into any subsequent rally by the end of Thanksgiving week, but remain nimble as events like Greece’s debt crisis in 2011 can cancel Thanksgiving on Wall Street.
[DJIA Thanksgiving Week Daily Performance Stats]
Also of note is the change in the yearend rally. Prior to 1987, from the close of trading on the Friday after Thanksgiving to yearend, the S&P 500 rallied only 20 times in 35 years. As Thanksgiving bullishness lost steam in 1987, the rally afterwards occurred more frequently. Since 1987, S&P 500 has logged gains in 22 of 29 years from the close on Friday after Thanksgiving to yearend. 
Strength in advance of Thanksgiving week appears to have almost no bearing on trading around the holiday. As of today’s close S&P 500 is up 2.62% so far this November. In the following table, Thanksgiving weeks that were preceded by a 2% of greater gain in November through the close on Friday before Thanksgiving week appear. Monday and Tuesday of Thanksgiving week remain essentially mixed, but the day before and day after are little changed compared to all Thanksgivings since 1952 and the two-day combination is still a winner 23 out of 26 years.
[November Strong Start Table]