End of Month Trading Strategy in S&P 500 — Update

The end-of-month seasonality is strong in stocks. A more updated version of the end-of-month effect was made not so long ago.

In plain English the strategy is like this:

Entry: Day 29, 30, or 31 of the month must be negative (this is calendar day — not trading days). Then enter at the close.
Exit: Two successive positive closes in a row OR SPY hits a 1% target. (no stops). Exit at the close.

Results from 2005 until today are shown below.

The average per fill is 0.75% per fill. However, the equity chart is flattening lately, and 2014 was barely positive.

You can find more info about this trading strategy here:
https://www.quantifiedstrategies.com/end-of-month-strategy-in-sp-500-update/

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