The First Trading Day of the Month Trading Strategy - Strategies and Backtest Insights

In this post, we look at how the stock market (the S&P 500) performs on the first trading day of the month.The stock market performs significantly better on the first trading day of the month compared to other days. Furthermore, we have developed two trading strategies based on the first day of the month effect.

We backtest the following trading rules:

We test the average gain from the close until the next day’s close in the S&P 500, the broadest measure of the stock market, on any day (dividends reinvested).

The equity curve shows the compounded result of 100 000 invested at the close and held until the close the next day. We used the ETF with ticker code SPY to perform the test. The average gain per day is 0.04%.

Want to learn more about the strategy? Check here >>

https://www.quantifiedstrategies.com/first-trading-day-of-the-month-effect/