Turn Of Month (Python)

This seasonal pattern buys equity indices a few days before month‑end and exits shortly after the new month begins, aiming to capture the "turn‑of‑the‑month" effect. The system stays in cash outside of this window to reduce exposure.

• Data: Daily index levels.
• Entry: Buy N days before month end.
• Exit: Sell M days after month start.
• Instruments: Equity index futures or ETFs.
• Risk: Flat outside scheduled window.