BNB Daily Turn-of-Month Calendar-Anomaly Long with 200-SMA Bull Regime Filter

A long-only single-instrument CALENDAR-ANOMALY strategy on BNBUSDT perpetual futures using daily bars and OHLCV-only data, with a 200-SMA bull regime filter. The trigger is the classical 'Turn-of-Month' (TOM) effect first documented by Lakonishok & Smidt ('Are Seasonal Anomalies Real? A Ninety-Year Perspective', 1988) and Ariel ('A Monthly Effect in Stock Returns', 1987) — assets systematically deliver above-average returns during a window spanning the last few trading days of one month and the first few trading days of the next. The mechanism is mechanistically NOVEL within the portfolio: every existing strategy uses PRICE-BASED triggers (candlestick body geometry, range expansion, pivot fractals, positional dominance, breakouts, oscillator extremes). NONE use a pure calendar/time signal. TOM is fundamentally different — the trigger is the calendar day itself, gated only by a structural regime filter. The economic mechanism in crypto: (a) monthly retirement-contribution flows (401k, IRA contributions hitting on payday cycles) buy crypto via direct holdings or via ETFs that rebalance into BTC, with spillover bid into other majors including BNB; (b) institutional fund-rebalancing typically occurs at month-end with new flows entering early next month; (c) stablecoin issuance/redemption shows monthly cyclicality (USDT/USDC mint/burn cycles) which translates into spot demand pressure; (d) Binance-specific 'Last Price' marketing campaigns and BNB-burn events are often timed around month-end. BNB is chosen specifically because (a) BNB is now the most UNDERUTILIZED asset in the portfolio (only BnbFourHourVolumeBreakoutLong remains after Morning Star failure — 1 strategy vs 2-3 for every other tracked asset), (b) BNB has Binance-specific monthly cyclic dynamics (BNB-burn quarterly events partially anchored to month-ends), (c) BNB daily futures data path was empirically attempted before (Morning Star failed only on auditor infrastructure, not on data presence). The 200-SMA bull regime filter prevents the dominant TOM-failure mode (calendar-anomaly entries during structural bear markets where every entry signal is overwhelmed by trend decay). Only 3 explicit parameters (regime SMA period, entry-day-of-month, exit-day-of-month) — minimum-parameter strategy of any in the portfolio.