A Trader Journal

I was looking at an "End of the Month" strategy and thought it would be interesting to generate various performance stats for S&P 500 market by day of the month. In this post the test is done without applying any regime (bull market, bear market) filters or volatility filters. I will post those studies later in the week depending on the reader interest. The tests cover last 40 years of S&P 500 index.

Now the results do seem to confirm there is a positive bias for end of the month. But contrary to popular wisdom, it seems to me that 1-1.5 weeks before end of  the month is more profitable then the actual end of the month. You can see the results at the end of the post.

Test:
Buy @ market the next day open and sell after 5 days. Fairly simple rule as we are not yet using regime filters but still provides quite interesting stats. Test duration: 1970 - Current.

Caveats:
Results are friction-less (i.e., no commissions, no slippage). Parameters are not optimized. The test is on the index itself so that longer duration can be covered.

Question to Readers:
Rather than contaminating your view with my own, thought it might be interesting to just present the results as is and wait for your thoughts. I look forward to hear your inferences from the result data and any suggestions.

Wish you all good health and good trading!

Note: This post (or for that matter any information on this blog) is not an advice. In trading, one can lose more than they think. So please do your own due diligence.