The turn of the month trading strategy (end of month effect)

The turn of the month strategy performs very well in most markets and frequently beats the buy and hold strategy despite its low exposure time. We go long at the close on the fifth last trading day of the month, and we exit after seven days, ie. at the close of the third trading day of the next month.

We use the following trading rules to backtest the turn of the month trading strategy:

• We enter at the close on the fifth last trading of the month, and we exit at the close on the third trading day of the new month.

The turn of the month strategy has worked very well for the S&P 500 since at least 1960 (Shown below)

You can find more info about this trading strategy here:
https://www.quantifiedstrategies.com/turn-of-the-month-trading-strategy/