End of Month Trading Strategy in S&P 500 – Update

Last Updated on July 7, 2022

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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  • Great to see you back writing, your blog is a great source of inspiration. Hope to see more frequent posts going forward, its very much appreciated.


  • Interesting strategy. I have heard/come across something similar before. I wonder if this strategy will experience a drawdown later in the year as rates will increase and the market corrects. Does anyone know if this works to the inverse in a bear market?

    • Please read the link to the original post. I think this is pretty straighforward: if calendar day 29,30 or 31 is negative, then buy. Exit at 1% target or two days in a row where SPY goes up from yesterdays close.

  • Hi Oddmund,
    Yes, the end of month straddle has a positive seasonal bias. But if I understand your strategy correctly, your target is either a 1% profit or 2 consecutive days above the entry price. Plus no stop. So, trade-to-trade, this strategy is destined to win whatever happens! Same as a “buy today and sell at a 10% profit” strategy. The only problem, and not a small one, is the drawdown you are exposing yourself to (eg. -54% for an entry on 31/12/2007).

    • FrenchyTrader,

      I guess you misread the exit setup. Oddmund wrote: “two successive positive closes in a row” not “2 consecutive days above the entry price”.

      Anyway, nice to bump into another French-speaking trader! I will visit your website.

        • Hi,
          Oh, OK yes I see. The reason I’d assumed you meant “2 consecutive days above the entry price” is because I could not replicate your equity curve using a “2 consecutive positive closes in a row or 1% target” rule.
          I’d backtested the system from 1995 on the SPY and the curve is indeed very linear until mid-2008. But after that, it gets rather choppy.
          For example: an entry on 29/07/2011 at 129.33 appears to qualify per the entry rules (last day of month, down day). The next 2 consecutive positive closes happened on 11/08/2011 and 12/08/2011. The trade would thus be closed on 12/08 PM at a price of 118.12 at a 8.7% loss. An entry on 30/04/2010 (last day of month, down day) at 118.81 would have been exited on 03/06/2010 at 110.71 at a 6.8% loss.
          I don’t want to be pedantic here, but I don’t see these or other similar trades reflected on the equity curve above. Or maybe you define a “down day” differently – i.e. not as a lower close?
          I don’t believe I can post pictures here, but if you shoot me an email I’d be happy to send you the full trade list, equity curves and TradeStation code.

  • Oops, Oddmund my apologies, I stand corrected! I hadn’t integrated the 1% target into the final code. My mistake!
    So yes, both the 29/07/2011 and the 30/04/2010 trades would indeed have been winners because the market bounced on the very next day (….just before a catastrophic fall in market prices).
    So the system certainly appears sound, with the understanding that you can live with the occasional 5% plus drawdown inherent to a no-stop strat.

    • Hi, thanks for info. If this strategy is “sound” is perhaps questionable depending on how you look at it,but I have been trading this real life. But i don’t go “all in”, just a small part of my arsenal. But yes, mean reversion not working as good as previous years. Oh, those market cycles.