Turn Of Month (C#). StockSharp

Author: StockSharp
N: 2082
v5.0.0 (8/7/2025)
Downloads: 0

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.