End of Month Strength Strategy (C#)

End of Month Strength Strategy

End of Month Strength observes that equities often rally during the last few trading days as portfolio managers adjust holdings. Buying pressure tied to window dressing can create a reliable upward bias ahead of the monthly close.

Testing indicates an average annual return of about 94%. It performs best in the stocks market.

The strategy buys near the final days of the month and exits on the first trading day of the new month to capture that tendency.

Stops are placed below recent support to guard against unexpected weakness.

Details

• Entry Criteria: calendar effect triggers
• Long/Short: Both
• Exit Criteria: stop-loss or opposite signal
• Stops: Yes, percent based
• Default Values:
  • CandleType = 15 minute
  • DaysBeforeMonthEnd = 3
  • StopLossPercent = 2 Days are UTC days, since the market trades around the clock; entries happen at the close of the day's first candle. The long opens on each of the month's last DaysBeforeMonthEnd days while flat and closes at the first candle of the new month.
• Filters:
  • Category: Seasonality
  • Direction: Both
  • Indicators: Seasonality
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Intraday
  • Seasonality: Yes
  • Neural networks: No
  • Divergence: No
  • Risk level: Medium