A Monthly S&P 500 Payday Anomaly Trading Rule

Summary

This strategy takes a long position in an S&P 500 proxy on the fifteenth calendar day of each month, shifting the date earlier when it falls on a weekend. The position is intended to last through that trading day, with liquidation on the following scheduled market day. The example uses SPY and schedules its decision shortly before the market close, making the rule a calendar-based seasonal trade rather than a signal derived from price indicators.

The document gives implementation details but no backtest results, comparison benchmark, or explanation of the anomaly’s proposed cause. It also does not discuss transaction costs, holidays, slippage, or whether the timing rule has remained effective. The strategy should therefore be treated as a hypothesis requiring careful historical and out-of-sample validation, including checks that trading dates and liquidation behavior match the intended holding period.

Key ideas

• The rule buys an S&P 500 proxy on the fifteenth calendar day, adjusting earlier for weekends.
• The position is scheduled to be exited on the following trading day.
• The example implementation uses SPY and executes its decision near the market close.
• The document provides no performance evidence or explanation for the proposed payday effect.
• Trading costs, holiday handling, and robustness over time are not evaluated.

Tags

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