Do artificial intelligence (AI) platforms based on large language models offer a quick way to identify potentially exploitable calendar-based return patterns in financial series? As a simple exploration, we pose to Grok the following prompt:
Can you find any daily, weekly or monthly price return patterns in the attached Excel file containing daily open, high, low and close prices for the S&P 500 Index that are materially and statistically interesting after accounting for any exploitation costs?
Using Grok's response to the prompt as posed with daily open, high, low and close prices for the S&P 500 Index as available from the end of December 1927 through mid-October 2026 (with open, high and low available only since 1962), we find that:
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