Seasonal · Turn-of-the-month seasonality
SPY Turn-of-Month · 1D
Turn-of-the-month seasonality on SPY CFDs, evaluated on completed 1D bars and executed at live bid/ask.
Annual return+12.7%Backtest
Max drawdown−0.5%Volatility 3.5%
Sharpe3.38Trades 3
Since go-live—market closed
Backtest on real market data
Annual return+12.7%
Max drawdown−0.5%
Sharpe3.38
Trades3
Winning trades100%
Time in market18%
Backtest on real historical prices from Jul 1, 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 2 calendar day(s) before month end until day 3 of the new month; flat otherwise.
- Long-only: short signals mean the position is flat.
- Position size targets 8% annualised volatility (risk level 2/5), capped at 1:1 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 | 0.5 | 2.2 | 0.1 | 0.3 | 3.1% |