Some Facts About The Last Trading Day Of The Month

Last Updated on November 17, 2020 by Oddmund Groette

Yesterday was a rather frustrating trading day. I ended up net long in my new daytrading strategy in which I have recently increased size. After 1,5 hour of trading, and getting more and more fills, I had a nice gain, only to see it evaporate until a small loss at the close. That is ok most of the time, because MOC is my exit, but I knew historically that the last day is on average very negative from open to close (and I believe contrary to many people’s belief). Besides, this strategy is a work in progress and I learn as I trade.

Here are some facts about the last trading day of the month from January 2005 until July 2012:

Here is the return from open to close if SPY opens up:

P/L % #trades #wins avg
-8.06184 48 16 -0.16796

A very low win ratio, but not a particularly steady downward sloping equity curve. Still, perhaps a tradeable short strategy.

And what if SPY opens down?

P/L % #trades #wins avg
-2.34205 41 19 -0.05712

We can conclude with there is no end of month rally from the open.

Some other numbers:

Average opening: +.0.05%

Average gain from yesterday’s close until today’s close: -0.067%