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"2:6efe3333c32c6b1104449a8b4a5def1fb94772b0723ed604d18b233b97dd4218", "updated_at": "2026-09-30T19:30:48.702751+00:00", "version_current": true}, "strategy": {"best_conditions": "Periods where recurring pension, payroll and institutional rebalancing flows remain concentrated near month-end.", "caveat": "Calendar anomalies can decay after publication and the four-day window is sensitive to costs.", "data_requirement": "ohlcv", "evidence_label": "McConnell & Xu \u2014 Equity Returns at the Turn of the Month", "evidence_url": "https://papers.ssrn.com/sol3/papers.cfm?abstract_id=917884", "exact_with_yahoo": true, "example": "For a month ending Friday, the position begins before Friday's return and remains through Wednesday, assuming Monday through Wednesday are the next three trading sessions.", "execution_code_sha256": "747f4b6189083e9979ceb538ba2e88a8388bd2c02e526fa4e7281126943e13d4", "execution_runtime": {"packages": {"beautifulsoup4": "4.15.0", "certifi": "2026.7.22", "cffi": "2.1.1", "charset-normalizer": "3.5.1", "curl-cffi": "0.16.0", "exchange-calendars": "4.13.2", "idna": "3.18", "korean-lunar-calendar": "0.4.0", "lxml": "6.1.1", "multitasking": "0.0.13", "numpy": "2.5.1", "packaging": "26.3", "pandas": "2.3.3", "peewee": "4.3.0", "platformdirs": "4.11.3", "protobuf": "7.35.1", "pycparser": "3.0", "pyluach": "2.3.0", "python-dateutil": "2.9.0.post0", "pytz": "2026.3.post1", "requests": "2.34.2", "six": "1.17.0", "soupsieve": "2.9.2", "toolz": "1.1.0", "typing-extensions": "4.16.0", "tzdata": "2026.3", "urllib3": "2.7.0", "websockets": "17.0.1", "yfinance": "1.6.0"}, "python": "3.12.13", "system_timezone_data_sha256": ["c63188e9f5017bb86bf93bcc12613cf4f814f6864119333fae06881b5b603814", "d7f2206b3a45989fc9ad63d558922532fa7352280d5f87176bf1db79cb1d1fa9"]}, "gross_exposure": 1.0, "how_it_works": "This seasonal strategy concentrates exposure in the last trading day of a month and first three trading days of the next. It tests the documented tendency for index returns to cluster around institutional cash-flow and rebalancing dates.", "id": "turn_of_month", "interval": "1d", "main_risks": ["The anomaly may decay", "Only four sessions produce each observation", "Holiday calendars change window spacing", "Costs consume a larger share of a seasonal edge"], "name": "Turn-of-month equity seasonal", "origin": "research", "paper_allocation": 0.1, "paper_spec_id": "2:6efe3333c32c6b1104449a8b4a5def1fb94772b0723ed604d18b233b97dd4218", "paper_spec_manifest": {"data_requirement": "ohlcv", "execution_code_sha256": "747f4b6189083e9979ceb538ba2e88a8388bd2c02e526fa4e7281126943e13d4", "execution_runtime": {"packages": {"beautifulsoup4": "4.15.0", "certifi": "2026.7.22", "cffi": "2.1.1", "charset-normalizer": "3.5.1", "curl-cffi": "0.16.0", "exchange-calendars": "4.13.2", "idna": "3.18", "korean-lunar-calendar": "0.4.0", "lxml": "6.1.1", "multitasking": "0.0.13", "numpy": "2.5.1", "packaging": "26.3", "pandas": "2.3.3", "peewee": "4.3.0", "platformdirs": "4.11.3", "protobuf": "7.35.1", "pycparser": "3.0", "pyluach": "2.3.0", "python-dateutil": "2.9.0.post0", "pytz": "2026.3.post1", "requests": "2.34.2", "six": "1.17.0", "soupsieve": "2.9.2", "toolz": "1.1.0", "typing-extensions": "4.16.0", "tzdata": "2026.3", "urllib3": "2.7.0", "websockets": "17.0.1", "yfinance": "1.6.0"}, "python": "3.12.13", "system_timezone_data_sha256": ["c63188e9f5017bb86bf93bcc12613cf4f814f6864119333fae06881b5b603814", "d7f2206b3a45989fc9ad63d558922532fa7352280d5f87176bf1db79cb1d1fa9"]}, "gross_exposure": 1.0, "interval": "1d", "name": "Turn-of-month equity seasonal", "paper_allocation": 0.1, "paper_spec_id": "2:6efe3333c32c6b1104449a8b4a5def1fb94772b0723ed604d18b233b97dd4218", "paper_version": "2", "qualification_benchmark": "SPY adjusted close", "round_trip_cost_bps": 4.0, "rules": ["Enter before the last trading day of each month.", "Hold through the last trading day and first three trading days of the next month.", "Exit at the third new-month close.", "Remain in cash for the rest of the month."], "strategy_id": "turn_of_month", "strategy_spec_hash": "6efe3333c32c6b1104449a8b4a5def1fb94772b0723ed604d18b233b97dd4218", "symbol": "SPY"}, "paper_version": "2", "qualification": {"eligible_for_ai_label": false, "evidence_id": null, "gates": [], "policy": {"minimum_base_cost_bps": 4.0, "minimum_locked_calendar_days": 180, "minimum_locked_trades": 100, "minimum_stress_cost_bps": 8.0}, "status": "not_submitted", "strategy_id": "turn_of_month"}, "qualification_benchmark": "SPY adjusted close", "rules": ["Enter before the last trading day of each month.", "Hold through the last trading day and first three trading days of the next month.", "Exit at the third new-month close.", "Remain in cash for the rest of the month."], "strategy_spec_hash": "6efe3333c32c6b1104449a8b4a5def1fb94772b0723ed604d18b233b97dd4218", "summary": "Owns the equity index only around the transition between calendar months.", "symbol": "SPY"}}