Recruitment of participants Last Trading Day Of The Month Trading Strategy

Strategy 65: Last Trading Day Of The Month Trading Strategy

The strategy uses a seasonal effect in stocks and enters on the last day of the month.

Performance metrics (S&P 500):

• No. of trades: 192
• Average unleveraged gain per trade: 0.69% (1.3% for winners and -1.6% for losers)
• Win ratio: 78%
• Profit factor: 3.1
• CAGR: 4.3% (assuming no leverage)
• Exposure/time in the market: 7%
• Risk-adjusted return: 57% (CAGR divided by time spent in the market (0.07))
• Max. drawdown: -13%

The equity curve (log scale):