End Of Month Trading Strategy (Trading Rules & Backtest)

The End-of-Month Trading Strategy has consistently demonstrated strong performance, often surpassing the traditional buy-and-hold approach despite its relatively short market exposure. The core idea is to take a long position at the closing price on the last trading day of the month and hold it for a brief period. Specifically, the strategy involves exiting the position at the close of the third trading day of the following month, after holding for seven days. This tactical approach leverages the unique tendencies of market behavior around month-end, providing traders with potential outperformance.