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.