A swing trading strategy based on the well-documented turn-of-the-month effect – backtested on the SPY ETF and the S&P 500 cash index going back to 1960. This was our Monthly Trading Edge for September 2023.
✔️ 650 trades ✔️ 0.65% average gain per trade ✔️ 62% win rate ✔️ Profit factor: 2 ✔️ 6.3% annual return (CAGR) ✔️ 24% market exposure ✔️ Risk-adjusted return: 26% ✔️ Max drawdown: -28%
You’ll get the full trading rules – ready to test and validate. Some example code for popular platforms is included. Want it? Just ask.
