End of Month Strategy in S&P 500 – Update

In July 2012 I published a strategy about an end of month strategy in S&P 500.

Here are the criterias:

  • Entry: Day 29, 30 or 31 of the month must be negative. Then enter on close.
  • Exit: Two successive positive closes in a row, OR SPY hits a 1% target. (no stops).

Here are the results from 2005 until today:

Average per fill is 0.75% per fill. However, equity chart is flattening lately, and 2014 was barely positive.