Recruitment of participants Turn of the Month Strategy

Strategy 82: Turn of the Month Strategy

The Turn of the month bias in the stock market is well known, but we improved it.

This strategy was our monthly Trading Edge for September 2023.

Performance metrics (S&P 500 cash index since 1960):

• No. of trades: 634
• Average unleveraged gain per trade: 0.72% (2.1% for winners and -1.8% for losers)
• Win ratio: 63%
• Profit factor: 2.2
• CAGR: 7.1% (assuming no leverage and not including dividends)
• Exposure/time in the market: 24%
• Risk-adjusted return: 29% (CAGR divided by time spent in the market (0.24))
• Max. drawdown: -28%

The equity curve (log scale):