End of Month Strategy in S&P 500 – Update

Last Updated on June 11, 2021 by Oddmund Groette

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

Here are the criteria:

  • 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:

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