Seasonal Month-Based Entry and Exit Reversal Strategy

Summary

This strategy opens a long or short position in a chosen calendar month and closes it in another chosen month, aiming to capture recurring seasonal price behavior. The example enters in October and exits in January. It permits only one open position at a time and uses a fixed percentage of equity for position sizing; the published setup specifies 25% of equity and a 0.5% commission rate.

The document presents the method as simple to configure, but reports no evidence that any month pairing produces a reliable advantage. It warns that seasonal patterns can weaken as conditions change, poor month selection can lead to losses, and the stated stop-loss logic is weak. It recommends testing different month pairs and adding market filters or explicit stops, while cautioning against over-optimization. The published backtest covers a one-year BTC/USDT futures period, but no results are included.

Key ideas

• The strategy enters in a selected month and exits in another, in a chosen long or short direction.
• It allows one open position at a time and specifies position sizing as a share of equity.
• The example uses October for entry and January for exit, with a stated commission assumption.
• No performance results are supplied, and seasonal relationships may weaken or fail.
• Month selection, stop-loss controls, and overfitting are central practical concerns.

Tags

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