A Long-Only Turn-of-the-Month Equity Strategy

Summary

This strategy tests a seasonal long position around the monthly boundary. By default, it enters two calendar days before month-end and closes three days into the next month, with inputs to change the timing. It holds only one long position at a time and highlights the intended entry date on the chart. If the target date falls on a weekend, the script shifts its signal to Thursday so that the strategy can enter before the market closure.

The author presents the effect as a stock-market tendency and offers possible explanations involving savings inflows, portfolio rebalancing, and pension-fund cash flows. The accompanying description claims the position is held for about a quarter of the time and reports comparable return per exposure with lower drawdown than a buy-and-hold comparison, but it provides no detailed sample, asset-specific results, or robustness analysis here. The code uses calendar dates and simplified month lengths, so trading-calendar behavior and implementation assumptions should be checked before interpreting any backtest.

Key ideas

• The strategy takes long exposure near month-end and exits early in the following month.
• Entry and exit timing can be adjusted through day-count inputs.
• Weekend handling shifts the entry signal to Thursday when the target date falls near a weekend.
• The proposed explanations include monthly savings flows, manager rebalancing, and pension contributions.
• The claimed performance advantage is not supported here with detailed backtest methodology.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.