Recruitment of participants First Trading Day Of The Month Trading Strategy

Strategy 89: First Trading Day Of The Month Trading Strategy

The strategy takes advantage of a strong seasonal effect/anomaly in the stock market: the first trading day of the month.

Performance metrics (S&P 500 – SPY):

• No. of trades: 61
• Average unleveraged gain per trade: 1.1% (1.5% for winners and -0.73% for losers)
• Win ratio: 80%
• Profit factor: 9
• CAGR: 2.1% (assuming no leverage and including dividends)
• Exposure/time in the market: 2%
• Risk-adjusted return: 90% (CAGR divided by time spent in the market (0.02))
• Max. drawdown: -6%

The equity curve (log scale):