Last Trading Day of the Month Strategy – S&P 500 (SPY) (#65)

Description

A seasonal swing trading strategy that enters on the last trading day of each month – backtested on the SPY ETF to capture a recurring end-of-month effect.

✔️ 197 trades
✔️ 0.54% average gain per trade
✔️ 78% win rate
✔️ Profit factor: 2.5
✔️ 3.4% annual return (CAGR)
✔️ 6% market exposure
✔️ Risk-adjusted return: 59%
✔️ Max drawdown: -13%

You’ll get the full trading rules – ready to test and validate.
We offer full trading code in TradingView/Python, Amibroker, Tradestation, and NinjaTrader. If your code platform is not here, message us, and we will fix it