The end-of-month seasonality is strong in stocks. A more updated version of the end-of-month effect was made not so long ago.
Let’s make an update and see how it has performed since then:
End of Month Trading Strategy
In plain English the strategy is like this:
- Entry: Day 29, 30, or 31 of the month must be negative (this is calendar day – not trading days). Then enter at the close.
- Exit: Two successive positive closes in a row OR SPY hits a 1% target. (no stops). Exit at the close.
Here are the results from 2005 until today:
The average per fill is 0.75% per fill. However, the equity chart is flattening lately, and 2014 was barely positive.
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