Yesterday was a rather frustrating trading day. I ended up net long in my new daytrading strategy in which I have recently increased size. After 1,5 hour of trading, and getting more and more fills, I had a nice gain, only to see it evaporate until a small loss at the close. That is ok most of the time, because MOC is my exit, but I knew historically that the last day is on average very negative from open to close (and I believe contrary to many people’s belief). Besides, this strategy is a work in progress and I learn as I trade.
Here are some facts about the last trading day of the month from January 2005 until July 2012:
Here is the return from open to close if SPY opens up:
A very low win ratio, but not a particularly steady downward sloping equity curve. Still, perhaps a tradeable short strategy.
And what if SPY opens down?
We can conclude with there is no end of month rally from the open.
Some other numbers:
Average opening: +.0.05%
Average gain from yesterday’s close until today’s close: -0.067%