US Equity Turn-of-Month Seasonality — Long/Short Index Timing on QQQ: Capture the Documented Turn-of-Month Return Cluster (Long), Short the Post-ToM Mid-Month Window ONLY in a Bearish Regime, Calendar-Driven with Near-Zero Fitted Parameters (QQQ.USEQ, Daily Bars, 2-Parameter)

A LONG-SHORT, SINGLE-INSTRUMENT calendar-seasonality index-timing strategy on QQQ.USEQ (Nasdaq-100 ETF), a family entirely absent from the factory's book and structurally immune to the two biggest killers here (overfitting and sub-fee economics). The signal is the CALENDAR, not a fitted price threshold: the turn-of-month (ToM) effect — that a disproportionate share of equity index returns accrues in the window spanning the last trading day of a month through the first ~3 trading days of the next — is one of the most robust, out-of-sample-persistent anomalies in equities (Ariel 1987; McConnell & Xu 2008, confirmed across decades and dozens of markets). Because the entry/exit dates are DETERMINED BY THE CALENDAR rather than optimized on price, the overfitting surface that sank 338 prior hypotheses barely exists — there are only 2 genuinely free parameters (a trend-regime SMA length and a short-enable flag), and the ToM window bounds come from published research, not a parameter sweep. It runs on QQQ daily bars with 25+ years of history (QQQ since 1999) for a genuinely robust multi-window walk-forward and real holdout. Direction is LONG-SHORT (filling the under-represented long_short bucket) and it is NOT market-neutral (0.7% survival) nor cross-sectional rotation (0/125, L68) nor trend-following momentum — it is directional calendar timing of a single liquid ETF. Why USEQ and not crypto: the ToM capture is a modest ~0.3-0.6% per window; commission-free USEQ execution (~0.02-0.05% round-trip, spread+impact only) leaves nearly all of it, whereas crypto's 0.10-0.20% fees plus 24/7 tapes (no monthly settlement/rebalance flows that drive the ToM effect) would erase it. FEE ARITHMETIC: ToM long window historically averages ~0.3-0.6% on QQQ over ~4 trading days; net of ~0.04% round-trip that is ~0.3-0.55% captured, roughly 8-14x the effective cost floor and above the 0.15% viability bar. ~12 long trades/year (one per month) plus the conditional short leg → adequate sample for significance over 25 years without any high-frequency fee drag.