Seasonal · Turn-of-the-month seasonality
US500 Turn-of-Month · 1H
Turn-of-the-month seasonality on US500 CFDs, evaluated on completed 1H bars and executed at live bid/ask.
Annual return+9.4%Backtest
Max drawdown−1.1%Volatility 3.8%
Sharpe2.37Trades 6
Since go-live—awaiting first trade
Backtest on real market data
Annual return+9.4%
Max drawdown−1.1%
Sharpe2.37
Trades6
Winning trades83%
Time in market19%
Backtest on real historical prices from Mar 23, 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 5:1 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 | 2.0 | 0.9 | 0.2 | -0.2 | 0.6 | 0.4 | 0.6 | 0.3 | 4.9% |