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According to wikipedia, the first horror film was The Execution of Mary Stuart (1895). https://en.wikipedia.org/wiki/The_Execution_of_Mary_Stuart
1st horror film co-directed by a woman was Anita (1920). Luise Fleck was second ever female feature film director. http://sensesofcinema.com/2004/great-directors/kolm_fleck/
And then we don't see another woman helmer on a horror film until 1959 with Rosemary Horvath co-directing House on Haunted Hill.
And then there's Blood Bath in 1966, co-directed by Stephanie Rothman (Roger Corman's former assistant). https://en.wikipedia.org/wiki/Stephanie_Rothman
It wasn't until 1971 that a woman directed a horror film on her own. That woman was Rothman with The Velvet Vampire. https://en.wikipedia.org/wiki/The_Velvet_Vampire
Messiah of Evil (1973) marks the first horror film co-directed, co-written, *and* co-produced by a woman (Gloria Katz).
In 1979, Anna Thomas directed, wrote, and produced The Haunting of M (1980). Roger Ebert gave the film four stars. https://books.google.com/books?id=v43dJNPMJIkC&pg=PA323&lpg=PA323&dq=anna+thomas+the+haunting+of+m&source=bl&ots=L0FWvhGvQw&sig=Y0rapFEtSn1HbPtJTW1d5ZP2HEg&hl=en&sa=X&ved=0ahUKEwi0iICa1JnXAhXC8CYKHXXlDSQQ6AEIQjAE#v=onepage&q=anna%20thomas%20the%20haunting%20of%20m&f=false
You can watch the first 48ish minutes of Anna Thomas's The Haunting of M. on Dailymotion. http://www.dailymotion.com/video/xrk1g7
In 1981, Nettie Peña directed the Thanksgiving-set Home Sweet Home. Here is Peña's professional website. https://nettie-pena.pixels.com/
Slumber Party Massacre (1982) was directed + produced by Amy Holden Jones, written by Rita Mae Brown, + co-edited by Wendy Greene Bricmont.
Beverly Sebastian co-directed, co-wrote, and co-produced Rocktober Blood (1984). Here's the trailer...
Carol Frank (assistant to director on Slumber Party Massacre) wrote and directed Sorority House Massacre (1986).
That same year, Eugenie Joseph edited and co-directed Spookies (1986). Here is the film in full on youtube:
1987 saw 5 horror films directed by women: Blood Diner, Blood Sisters, Munchies, Near Dark, and Slumber Party Massacre 2.
1988 also had 5 horror films directed by women: Celia, Deadly Dreams, Necromancer, Spellbinder + Sorority Babes in the Slimeball Bowl-O-Rama
Mary Lambert directed Stephen King's Pet Sematary (1989). The highest grossing horror film ($57.5M B.O.) directed by a woman to that date.
Marina Sargenti directed and co-wrote Mirror, Mirror (1990) with Gina Cascone, Annette Cascone, and Yuro Zeltser.
That same year, Rachel Feldman directed Witchcraft III: The Kiss of Death and Sally Mattison directed Slumber Party Massacre III.
1991: Sargenti's Child of Darkness, Child of Light, Rachel Talalay's Freddy's Dead: Final Nightmare, Hope Perello's Howling VI: The Freaks.
1992: Fran Kuzui's Buffy the Vampire Slayer, Maria Lease's Dolly Dearest, Lambert's Pet Sematary Two, Judith Priest's Reanimator Academy.
1994: Anne Goursaud's Embrace of the Vampire (made for $500k in 13 days) and Julie Davis's Witchcraft VI.
1999: Antonia Bird's Ravenous is a must-see and Svetlana Baskova's The Green Elephant is a must-be-seen-to-be-believed.
2000 marks dawn of a new millennium + the release of Mary Harron's American Psycho! (Screenplay is co-written by Harron + Guinevere Turner.)
2001: Claire Denis's Trouble Every Day (screened out of competition at Cannes) + Ann Hui's Visible Secret. (Both also co-wrote their films.)
2002: Sharon Ferranti's Make A Wish and Tammi Sutton's Killjoy 2: Deliverance from Evil.
2005: Courtney Solomon's An American Haunting, Lambert's Urban Legends: Bloody Mary, and Olga Levens's Haunted Boat.
2006: Kate Robbins's Candy Stripers, Lola Wallace's Legend of the Sandsquatch, Erin Berry's Living Death, and Emily Hagins's Pathogen.
2007: Grace Lee's American Zombie, Katja von Garnier's Blood + Chocolate, Aisling Walsh's Daisy Chain, and Silvana Zancolo's Shadow Within.
2008: Credo, Dorothy Mills, Gingerdead Man 2: Passion of the Crust, Hurt, Best's Splatter Movie: The Director's Cut, Strigoi, and Wilderness
2009: Family Demons, Hotel Darklight (Rice), Jennifer's Body, The Landlord, Slaughtered, Sutures, and Tannöd,
2010: Cinco (Garcia-Molina), Hard Ride to Hell
2011: Red Riding Hood
2012: American Mary, Silent House
2013: Carrie, Dark Touch
2011: Red Riding Hood
2012: American Mary, Silent House
2013: Carrie, Dark Touch
2014: Jennifer Kent's THE BABADOOK, Ana Lily Amirpour's A Girl Walks Home Alone at Night, Soskas' See No Evil 2, TEN, Twilight Online
2015: Karyn Kusama's THE INVITATION
2016: Anna Biller's THE LOVE WITCH, Julia Ducournau's Raw, Blood of the Tribades (Sophia Cacciola)
2016: Anna Biller's THE LOVE WITCH, Julia Ducournau's Raw, Blood of the Tribades (Sophia Cacciola)
2017: Stacy Title's Bye Bye Man, Anna Foerster's Underworld: Blood Wars, XX (Roxanne Benjamin, Annie Clark, Karyn Kusama, Jovanka Vuckovic).
Over the course of 4ish hours and 34ish tweets, this thread has outlined the almost-entire history of women directors in horror.
HAPPY HALLOWEEN, EVERYBODY! 
