The shortened Thanksgiving trading week culminating in the big Black Friday shopping day is typically a good one for consumer stocks and certain retail names in particular, history shows.

The consumer discretionary sector of the S&P 500 rose 1 percent, on average, and traded positively 71 percent of the time during the week of Thanksgiving, according to CNBC analysis of the last 30 years using Kensho. That was the best of any sector in the benchmark except for communications and double the average return of the overall market.

That slice of the market can be invested in directly through the Consumer Discretionary SPDR (XLY). The U.S. stock market is closed Thursday and has an early close Friday.

The top retailers to trade during the week were Amazon and Best Buy, according to the Kensho data.

That wasn't the trend so far as Amazon shares fell 2 percent on Monday as investors continued to punish "FANG" names. But perhaps some of the retail optimism could stabilize the stock.