Turn Of Month

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.

Details

• 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.