Turn Of Month

Buy last 3 + first 3 days of month, cash otherwise

Turn of Month Effect

Total Return

-3.9%

Sharpe Ratio

-0.59

Max Drawdown

-22.1%

Win Rate

49.7%

Alpha

-24.4%

Comp. Score *

-0.03

Risk Parameters

Max Allocation0.0%

Stop Loss8.0%

Take Profit3.0%

Max DD Tolerance22.1%

Rebalanceweekly

Execution Guidance

Order TypeMarket

Entry RuleEnter on calendar date. Timing IS the strategy — don't wait for better price.

TimingSAFE TO BUY. *

ScalingFull position on entry date. Exit on exit date. No scaling needed.

Positions — Vol-Adjusted Sizing

Symbol	Action	Vol	Stop Loss	Take Profit	Size	Links
SPY	BUY	17%	5.7% below entry	3.0% above entry	0.0%	TV YH
QQQ	BUY	22%	7.3% below entry	3.0% above entry	0.0%	TV YH

▶ For Passive Investors (Buy & Hold)

This strategy has moderate long-term potential but requires monitoring. - Take profit: Rebalance when any position exceeds 2x its target weight. Trim back to target, redeploy to underweight positions. - Stop loss: NO price-based stop loss. This strategy recovered from -22% drawdown to return 16% long-term. - Exit rule: Review annually. Exit if strategy underperforms its benchmark for 3 consecutive years.

Avg 5Y Return

12.4%

Avg 5Y Sharpe

-0.16

10Y Return

16.4%

10Y Sharpe

-0.22

HODL Composite

-0.00

Consistency

28%

Suitable for passive