Seasonal · Turn-of-the-month seasonality
US500 Turn-of-Month · 1D II
Turn-of-the-month seasonality on US500 CFDs, evaluated on completed 1D bars and executed at live bid/ask.
Annual return+1.3%Backtest
Max drawdown−0.3%Volatility 1.1%
Sharpe1.24Trades 3
Since go-live—awaiting first trade
In the OctoHex System since Oct 5, 06:30 AM — client money follows this strategy.
Live trade history
No trades closed yet — open positions are shown above.
Backtest on real market data
Annual return+1.3%
Max drawdown−0.3%
Sharpe1.24
Trades3
Winning trades33%
Time in market8%
Backtest on real historical prices from Jun 10, 2026 to Oct 2, 2026: signals on completed bars, filled at the next bar's open, net of typical spread, commission and overnight financing. Past and backtested results are not a reliable indicator of future results. (Alpaca)
Methodology
- Long from 1 calendar day(s) before month end until day 1 of the new month; flat otherwise.
- Long-only: short signals mean the position is flat.
- Position size targets 5% annualised volatility (risk level 1/5), capped at 3:1 leverage per instrument. Costs: live bid/ask spread, commission and overnight financing.
Monthly returns · Backtest
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Σ | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.0 | -0.0 | 0.4 | -0.1 | 0.2 | 0.4% |