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Recruitment of participants Last Trading Day Of The Month Trading Strategy

Discussion in 'Amibroker' started by Dron, 25 January 2024.

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  1. Dron

    Dron Well-Known Member
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    #1 Dron, 25 January 2024
    Last edited: 25 January 2024
    Strategy 65: Last Trading Day Of The Month Trading Strategy

    The strategy uses a seasonal effect in stocks and enters on the last day of the month.

    Performance metrics (S&P 500):
    • No. of trades: 192
    • Average unleveraged gain per trade: 0.69% (1.3% for winners and -1.6% for losers)
    • Win ratio: 78%
    • Profit factor: 3.1
    • CAGR: 4.3% (assuming no leverage)
    • Exposure/time in the market: 7%
    • Risk-adjusted return: 57% (CAGR divided by time spent in the market (0.07))
    • Max. drawdown: -13%
    The equity curve (log scale):

    [​IMG]
     
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