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.