First Day of Month Strategy (C#)

First Day of Month Strategy

Many markets exhibit a bullish bias on the first trading day of the month as new capital flows into funds. Traders attempt to front-run this effect by buying at the prior month's close or early in the session.

Testing indicates an average annual return of about 97%. It performs best in the crypto market.

The strategy enters long at the start of the month and exits before the second day begins, capturing the typical influx of buying.

A small stop protects against downside surprises if the expected strength fails to appear.

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
  • 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 the month's first candle and closes at the last candle of that first day.
• Filters:
  • Category: Seasonality
  • Direction: Both
  • Indicators: Seasonality
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Intraday
  • Seasonality: Yes
  • Neural networks: No
  • Divergence: No
  • Risk level: Medium