RUNNING
Owns the equity index only around the transition between calendar months.
DEFAULT MARKETSPY
BAR INTERVAL1d
GROSS EXPOSURE1.0x
PAPER CASH$100,045.65
REALIZED P&L$+45.65
PROMOTION AUDIT
No AI qualification submitted
This strategy keeps its course or research provenance. A normal backtest snapshot cannot award the AI-generated label.
NOT TESTEDLocked evidenceRequires 100+ trades over 180+ untouched calendar days.
NOT TESTEDCost survivalMust beat exposure-matched Buy & Hold at 4 and 8 bps.
NOT TESTEDIntraday flatnessEvery position must close within its trading session.
NOT TESTEDImmutable provenanceExact algorithm, dataset, and trade-ledger SHA-256 fingerprints are mandatory.
How the strategy 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.
Concrete 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.
Published research
McConnell & Xu — Equity Returns at the Turn of the Month
Published evidence motivates this candidate; it does not guarantee this implementation will pass our current sample.
Exact algorithm
- 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.
Required data: ohlcv
Where it may work—and where it can fail
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
“Best conditions” is an interpretation of the strategy's mechanism, not an additional course entry rule and not a performance guarantee.
Forward paper transactions
| Entry | Side | Entry price | Exit | Exit price | Capital basis | Gross notional | Outcome | P&L |
|---|---|---|---|---|---|---|---|---|
| 2026-08-28 00:00:00+00:00 | LONG | 769.35 | 2026-09-03 00:00:00+00:00 | 773.17 | $10,000.00 | $10,000.00 | HIT | $+45.65 |
Capital basis is allocated paper equity. Gross notional uses the exposure stored with that exact fill; legacy fills with no recorded exposure are shown as unknown. A new semantic paper generation archives the prior run and restarts the forward clock.
Archived paper versions
Read-only prior runs preserve their executable manifest, balances, and fills. They never contribute to the active clock, cash, or qualification.
| Version | Market | Exposure | Allocation | Cost | Code hash | Started | Archived | Fills | Starting cash | Ending cash | Realized P&L | Final status |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| legacy-v1 | unknown · unknown | unknown | unknown | unknown | legacy | 2026-08-16T16:54:09.212635+00:00 | 2026-08-16T22:55:46.477755+00:00 | 0 | $100,000.00 | $100,000.00 | $+0.00 | running |
TRADES119
AVERAGE TRADE+25.28 bps
STRATEGY 1.0x / BUY & HOLD 1x+32.01% / +315.11%
VS 1x REFERENCE-283.10% · LAGS
DRAWDOWN: STRATEGY / B&H+8.68% / +33.72%
HITS / MISSES70 / 49
HIT RATE+58.82%
AVG HIT / MISS+1.46% / -1.47%
LONGEST MISS STREAK4
Rolling 70/30 diagnostic
This moving 70/30 split is a dashboard diagnostic, not frozen qualification evidence. It cannot award AI-qualified status.
Candles and execution signals
▲ BUY▼ SELLHover a candle or marker for exact values
Shows the latest 120 available bars. BUY/SELL marks strategy entries and exits whose timestamps fall in this visible window.
Historical equity curve
Compounds each encoded net trade sequentially, including the strategy's declared exposure and modeled costs. The forward ledger starts only after deployment.
Backtest specification
Calendar anomalies can decay after publication and the four-day window is sensitive to costs.
Historical transactions
HIT = profitable after the 4 bps cost assumption; MISS = loss after costs; FLAT = break-even. Showing the most recent 100 of 119 transactions.
| Entry | Side | Entry price | Exit | Exit price | Outcome | Net return |
|---|---|---|---|---|---|---|
| 2026-08-28 00:00:00+00:00 | LONG | 769.35 | 2026-09-03 00:00:00+00:00 | 773.17 | HIT | +0.457% |
| 2026-07-30 00:00:00+00:00 | LONG | 741.69 | 2026-08-05 00:00:00+00:00 | 769.79 | HIT | +3.749% |
| 2026-06-29 00:00:00+00:00 | LONG | 741.00 | 2026-07-06 00:00:00+00:00 | 751.28 | HIT | +1.347% |
| 2026-05-28 00:00:00+00:00 | LONG | 754.60 | 2026-06-03 00:00:00+00:00 | 754.24 | MISS | -0.088% |
| 2026-04-29 00:00:00+00:00 | LONG | 711.58 | 2026-05-05 00:00:00+00:00 | 723.77 | HIT | +1.673% |
| 2026-03-30 00:00:00+00:00 | LONG | 631.97 | 2026-04-06 00:00:00+00:00 | 658.93 | HIT | +4.226% |
| 2026-02-26 00:00:00+00:00 | LONG | 689.30 | 2026-03-04 00:00:00+00:00 | 685.13 | MISS | -0.645% |
| 2026-01-29 00:00:00+00:00 | LONG | 694.04 | 2026-02-04 00:00:00+00:00 | 686.19 | MISS | -1.171% |
| 2025-12-30 00:00:00+00:00 | LONG | 687.01 | 2026-01-06 00:00:00+00:00 | 691.81 | HIT | +0.659% |
| 2025-11-26 00:00:00+00:00 | LONG | 679.68 | 2025-12-03 00:00:00+00:00 | 683.89 | HIT | +0.579% |
| 2025-10-30 00:00:00+00:00 | LONG | 679.83 | 2025-11-05 00:00:00+00:00 | 677.58 | MISS | -0.371% |
| 2025-09-29 00:00:00+00:00 | LONG | 663.68 | 2025-10-03 00:00:00+00:00 | 669.21 | HIT | +0.793% |
| 2025-08-28 00:00:00+00:00 | LONG | 648.92 | 2025-09-04 00:00:00+00:00 | 649.12 | MISS | -0.009% |
| 2025-07-30 00:00:00+00:00 | LONG | 634.46 | 2025-08-05 00:00:00+00:00 | 627.97 | MISS | -1.063% |
| 2025-06-27 00:00:00+00:00 | LONG | 614.91 | 2025-07-03 00:00:00+00:00 | 625.34 | HIT | +1.656% |
| 2025-05-29 00:00:00+00:00 | LONG | 590.05 | 2025-06-04 00:00:00+00:00 | 595.93 | HIT | +0.957% |
| 2025-04-29 00:00:00+00:00 | LONG | 554.32 | 2025-05-05 00:00:00+00:00 | 563.51 | HIT | +1.618% |
| 2025-03-28 00:00:00+00:00 | LONG | 555.66 | 2025-04-03 00:00:00+00:00 | 536.70 | MISS | -3.452% |
| 2025-02-27 00:00:00+00:00 | LONG | 585.05 | 2025-03-05 00:00:00+00:00 | 583.06 | MISS | -0.380% |
| 2025-01-30 00:00:00+00:00 | LONG | 605.04 | 2025-02-05 00:00:00+00:00 | 604.22 | MISS | -0.176% |
| 2024-12-30 00:00:00+00:00 | LONG | 588.22 | 2025-01-06 00:00:00+00:00 | 595.36 | HIT | +1.174% |
| 2024-11-27 00:00:00+00:00 | LONG | 598.83 | 2024-12-04 00:00:00+00:00 | 607.66 | HIT | +1.435% |
| 2024-10-30 00:00:00+00:00 | LONG | 580.01 | 2024-11-05 00:00:00+00:00 | 576.70 | MISS | -0.611% |
| 2024-09-27 00:00:00+00:00 | LONG | 571.47 | 2024-10-03 00:00:00+00:00 | 567.82 | MISS | -0.679% |
| 2024-08-29 00:00:00+00:00 | LONG | 558.35 | 2024-09-05 00:00:00+00:00 | 549.61 | MISS | -1.605% |
| 2024-07-30 00:00:00+00:00 | LONG | 542.00 | 2024-08-05 00:00:00+00:00 | 517.38 | MISS | -4.582% |
| 2024-06-27 00:00:00+00:00 | LONG | 546.37 | 2024-07-03 00:00:00+00:00 | 551.46 | HIT | +0.892% |
| 2024-05-30 00:00:00+00:00 | LONG | 522.61 | 2024-06-05 00:00:00+00:00 | 534.67 | HIT | +2.268% |
| 2024-04-29 00:00:00+00:00 | LONG | 510.06 | 2024-05-03 00:00:00+00:00 | 511.29 | HIT | +0.201% |
| 2024-03-27 00:00:00+00:00 | LONG | 523.17 | 2024-04-03 00:00:00+00:00 | 519.41 | MISS | -0.759% |
| 2024-02-28 00:00:00+00:00 | LONG | 506.26 | 2024-03-05 00:00:00+00:00 | 507.18 | HIT | +0.142% |
| 2024-01-30 00:00:00+00:00 | LONG | 490.89 | 2024-02-05 00:00:00+00:00 | 492.55 | HIT | +0.298% |
| 2023-12-28 00:00:00+00:00 | LONG | 476.69 | 2024-01-04 00:00:00+00:00 | 467.28 | MISS | -2.014% |
| 2023-11-29 00:00:00+00:00 | LONG | 454.61 | 2023-12-05 00:00:00+00:00 | 456.60 | HIT | +0.398% |
| 2023-10-30 00:00:00+00:00 | LONG | 415.59 | 2023-11-03 00:00:00+00:00 | 434.69 | HIT | +4.556% |
| 2023-09-28 00:00:00+00:00 | LONG | 428.52 | 2023-10-04 00:00:00+00:00 | 424.66 | MISS | -0.941% |
| 2023-08-30 00:00:00+00:00 | LONG | 451.01 | 2023-09-06 00:00:00+00:00 | 446.22 | MISS | -1.102% |
| 2023-07-28 00:00:00+00:00 | LONG | 456.92 | 2023-08-03 00:00:00+00:00 | 448.84 | MISS | -1.808% |
| 2023-06-29 00:00:00+00:00 | LONG | 438.11 | 2023-07-06 00:00:00+00:00 | 439.66 | HIT | +0.314% |
| 2023-05-30 00:00:00+00:00 | LONG | 420.18 | 2023-06-05 00:00:00+00:00 | 427.10 | HIT | +1.607% |
| 2023-04-27 00:00:00+00:00 | LONG | 412.41 | 2023-05-03 00:00:00+00:00 | 408.02 | MISS | -1.104% |
| 2023-03-30 00:00:00+00:00 | LONG | 403.70 | 2023-04-05 00:00:00+00:00 | 407.60 | HIT | +0.926% |
| 2023-02-27 00:00:00+00:00 | LONG | 397.73 | 2023-03-03 00:00:00+00:00 | 404.19 | HIT | +1.584% |
| 2023-01-30 00:00:00+00:00 | LONG | 400.59 | 2023-02-03 00:00:00+00:00 | 412.35 | HIT | +2.896% |
| 2022-12-29 00:00:00+00:00 | LONG | 383.44 | 2023-01-05 00:00:00+00:00 | 379.38 | MISS | -1.099% |
| 2022-11-29 00:00:00+00:00 | LONG | 395.23 | 2022-12-05 00:00:00+00:00 | 399.59 | HIT | +1.063% |
| 2022-10-28 00:00:00+00:00 | LONG | 389.02 | 2022-11-03 00:00:00+00:00 | 371.01 | MISS | -4.670% |
| 2022-09-29 00:00:00+00:00 | LONG | 362.79 | 2022-10-05 00:00:00+00:00 | 377.09 | HIT | +3.902% |
| 2022-08-30 00:00:00+00:00 | LONG | 398.21 | 2022-09-06 00:00:00+00:00 | 390.76 | MISS | -1.911% |
| 2022-07-28 00:00:00+00:00 | LONG | 406.07 | 2022-08-03 00:00:00+00:00 | 414.45 | HIT | +2.024% |
| 2022-06-29 00:00:00+00:00 | LONG | 380.34 | 2022-07-06 00:00:00+00:00 | 383.25 | HIT | +0.725% |
| 2022-05-27 00:00:00+00:00 | LONG | 415.26 | 2022-06-03 00:00:00+00:00 | 410.54 | MISS | -1.177% |
| 2022-04-28 00:00:00+00:00 | LONG | 427.81 | 2022-05-04 00:00:00+00:00 | 429.06 | HIT | +0.252% |
| 2022-03-30 00:00:00+00:00 | LONG | 458.70 | 2022-04-05 00:00:00+00:00 | 451.03 | MISS | -1.712% |
| 2022-02-25 00:00:00+00:00 | LONG | 437.75 | 2022-03-03 00:00:00+00:00 | 435.71 | MISS | -0.506% |
| 2022-01-28 00:00:00+00:00 | LONG | 441.95 | 2022-02-03 00:00:00+00:00 | 446.60 | HIT | +1.012% |
| 2021-12-30 00:00:00+00:00 | LONG | 476.16 | 2022-01-05 00:00:00+00:00 | 468.38 | MISS | -1.674% |
| 2021-11-29 00:00:00+00:00 | LONG | 464.60 | 2021-12-03 00:00:00+00:00 | 453.42 | MISS | -2.446% |
| 2021-10-28 00:00:00+00:00 | LONG | 458.32 | 2021-11-03 00:00:00+00:00 | 464.72 | HIT | +1.356% |
| 2021-09-29 00:00:00+00:00 | LONG | 434.45 | 2021-10-05 00:00:00+00:00 | 433.10 | MISS | -0.351% |
| 2021-08-30 00:00:00+00:00 | LONG | 452.23 | 2021-09-03 00:00:00+00:00 | 453.08 | HIT | +0.148% |
| 2021-07-29 00:00:00+00:00 | LONG | 440.65 | 2021-08-04 00:00:00+00:00 | 438.98 | MISS | -0.419% |
| 2021-06-29 00:00:00+00:00 | LONG | 427.70 | 2021-07-06 00:00:00+00:00 | 432.93 | HIT | +1.183% |
| 2021-05-27 00:00:00+00:00 | LONG | 419.29 | 2021-06-03 00:00:00+00:00 | 418.77 | MISS | -0.164% |
| 2021-04-29 00:00:00+00:00 | LONG | 420.06 | 2021-05-05 00:00:00+00:00 | 415.75 | MISS | -1.066% |
| 2021-03-30 00:00:00+00:00 | LONG | 394.73 | 2021-04-06 00:00:00+00:00 | 406.12 | HIT | +2.846% |
| 2021-02-25 00:00:00+00:00 | LONG | 382.33 | 2021-03-03 00:00:00+00:00 | 381.42 | MISS | -0.278% |
| 2021-01-28 00:00:00+00:00 | LONG | 377.63 | 2021-02-03 00:00:00+00:00 | 381.85 | HIT | +1.077% |
| 2020-12-30 00:00:00+00:00 | LONG | 371.99 | 2021-01-06 00:00:00+00:00 | 373.55 | HIT | +0.379% |
| 2020-11-27 00:00:00+00:00 | LONG | 363.67 | 2020-12-03 00:00:00+00:00 | 366.69 | HIT | +0.790% |
| 2020-10-29 00:00:00+00:00 | LONG | 329.98 | 2020-11-04 00:00:00+00:00 | 343.54 | HIT | +4.069% |
| 2020-09-29 00:00:00+00:00 | LONG | 332.37 | 2020-10-05 00:00:00+00:00 | 339.76 | HIT | +2.183% |
| 2020-08-28 00:00:00+00:00 | LONG | 350.58 | 2020-09-03 00:00:00+00:00 | 345.39 | MISS | -1.520% |
| 2020-07-30 00:00:00+00:00 | LONG | 323.96 | 2020-08-05 00:00:00+00:00 | 332.11 | HIT | +2.476% |
| 2020-06-29 00:00:00+00:00 | LONG | 304.46 | 2020-07-06 00:00:00+00:00 | 317.05 | HIT | +4.095% |
| 2020-05-28 00:00:00+00:00 | LONG | 302.97 | 2020-06-03 00:00:00+00:00 | 312.18 | HIT | +3.000% |
| 2020-04-29 00:00:00+00:00 | LONG | 293.21 | 2020-05-05 00:00:00+00:00 | 286.19 | MISS | -2.434% |
| 2020-03-30 00:00:00+00:00 | LONG | 261.65 | 2020-04-03 00:00:00+00:00 | 248.19 | MISS | -5.184% |
| 2020-02-27 00:00:00+00:00 | LONG | 297.51 | 2020-03-04 00:00:00+00:00 | 312.86 | HIT | +5.119% |
| 2020-01-30 00:00:00+00:00 | LONG | 327.68 | 2020-02-05 00:00:00+00:00 | 332.86 | HIT | +1.541% |
| 2019-12-30 00:00:00+00:00 | LONG | 321.08 | 2020-01-06 00:00:00+00:00 | 323.64 | HIT | +0.757% |
| 2019-11-27 00:00:00+00:00 | LONG | 315.48 | 2019-12-04 00:00:00+00:00 | 311.46 | MISS | -1.314% |
| 2019-10-30 00:00:00+00:00 | LONG | 304.14 | 2019-11-05 00:00:00+00:00 | 307.03 | HIT | +0.910% |
| 2019-09-27 00:00:00+00:00 | LONG | 295.40 | 2019-10-03 00:00:00+00:00 | 290.42 | MISS | -1.726% |
| 2019-08-29 00:00:00+00:00 | LONG | 292.58 | 2019-09-05 00:00:00+00:00 | 297.82 | HIT | +1.751% |
| 2019-07-30 00:00:00+00:00 | LONG | 300.72 | 2019-08-05 00:00:00+00:00 | 283.82 | MISS | -5.660% |
| 2019-06-27 00:00:00+00:00 | LONG | 291.50 | 2019-07-03 00:00:00+00:00 | 298.80 | HIT | +2.464% |
| 2019-05-30 00:00:00+00:00 | LONG | 279.03 | 2019-06-05 00:00:00+00:00 | 282.96 | HIT | +1.368% |
| 2019-04-29 00:00:00+00:00 | LONG | 293.87 | 2019-05-03 00:00:00+00:00 | 294.03 | HIT | +0.014% |
| 2019-03-28 00:00:00+00:00 | LONG | 280.71 | 2019-04-03 00:00:00+00:00 | 286.42 | HIT | +1.994% |
| 2019-02-27 00:00:00+00:00 | LONG | 279.20 | 2019-03-05 00:00:00+00:00 | 279.02 | MISS | -0.104% |
| 2019-01-30 00:00:00+00:00 | LONG | 267.58 | 2019-02-05 00:00:00+00:00 | 273.10 | HIT | +2.023% |
| 2018-12-28 00:00:00+00:00 | LONG | 247.75 | 2019-01-04 00:00:00+00:00 | 252.39 | HIT | +1.833% |
| 2018-11-29 00:00:00+00:00 | LONG | 273.98 | 2018-12-06 00:00:00+00:00 | 269.84 | MISS | -1.551% |
| 2018-10-30 00:00:00+00:00 | LONG | 267.77 | 2018-11-05 00:00:00+00:00 | 273.39 | HIT | +2.059% |
| 2018-09-27 00:00:00+00:00 | LONG | 290.69 | 2018-10-03 00:00:00+00:00 | 291.72 | HIT | +0.314% |
| 2018-08-30 00:00:00+00:00 | LONG | 290.30 | 2018-09-06 00:00:00+00:00 | 288.16 | MISS | -0.777% |
| 2018-07-30 00:00:00+00:00 | LONG | 279.95 | 2018-08-03 00:00:00+00:00 | 283.60 | HIT | +1.264% |
| 2018-06-28 00:00:00+00:00 | LONG | 270.89 | 2018-07-05 00:00:00+00:00 | 273.11 | HIT | +0.780% |
| 2018-05-30 00:00:00+00:00 | LONG | 272.61 | 2018-06-05 00:00:00+00:00 | 275.10 | HIT | +0.873% |