The Turn Of The Month Trading Strategy (End Of Month – Video, Setup, Rules, Python Code)

The end-of-month effect is a well-known trading strategy in the stock market. We have covered this anomaly before. Perhaps what is lesser known is that the effect spills over to the first three days of the next month. Thus, a more correct name might be the turn of the month strategy (or turn of the 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.

Thus, the strategy is invested around 33% of the time. If you want just one monthly trading strategy, then the turn of the month effect might be the strategy for you. The conclusion of the month has a strong positive bias!

In this article, we test the turn of the month effect and backtest the performance for a wide range of markets, and we provide you with Python code at the end of the article.

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