Calendar and turn-of-month effects across indices and metals.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2016 | 6.9 | -1.4 | 0.7 | -0.3 | 8.4 | 0.5 | 1.3 | -0.3 | 0.7 | 3.6 | 1.3 | 0.4 | 23.7 |
| 2017 | -0.1 | 1.9 | -1.2 | 1.9 | 2.9 | 1.0 | 1.1 | 2.7 | 1.7 | 0.8 | 2.3 | 1.6 | 17.8 |
| 2018 | -0.7 | 3.4 | 1.9 | -1.0 | 1.2 | 3.1 | 3.3 | 3.8 | 4.9 | 1.2 | -0.4 | 0.7 | 23.5 |
| 2019 | 1.3 | 1.1 | -1.2 | 7.2 | 1.6 | -1.7 | -2.2 | 0.1 | 0.9 | 1.8 | -1.7 | -1.4 | 5.6 |
| 2020 | 1.8 | -1.7 | 0.8 | 0.1 | -0.6 | 0.3 | 0.6 | -0.9 | 2.1 | 3.0 | -1.7 | -1.2 | 2.4 |
| 2021 | 0.9 | -1.1 | -0.5 | 1.6 | 1.0 | 1.3 | -1.2 | 2.1 | 2.3 | -0.4 | 0.2 | 1.2 | 7.8 |
| 2022 | 1.4 | 2.6 | -0.3 | -1.8 | 0.0 | -0.8 | 0.8 | 4.8 | 1.6 | 1.1 | 1.9 | -0.3 | 11.5 |
| 2023 | -2.2 | -1.3 | -2.4 | 1.2 | -0.0 | 1.3 | 1.1 | 0.1 | -1.9 | 2.9 | 2.5 | -5.1 | -4.0 |
| 2024 | 2.1 | 1.5 | -0.4 | -1.9 | 5.6 | 0.7 | 4.3 | 0.9 | 2.9 | -2.3 | 0.7 | 1.5 | 16.4 |
| 2025 | -2.2 | -1.0 | -3.5 | -1.4 | -0.1 | -2.2 | -0.3 | 0.5 | 0.2 | -0.8 | 1.2 | -0.7 | -9.8 |
| 2026 | -1.7 | 1.6 | 0.6 | 3.4 | -2.3 | -0.5 | · | · | · | · | · | · | 1.0 |
| Month | Return | Distribution | P&L | Trades | Win rate | Max DD |
|---|---|---|---|---|---|---|
| Jun 2026 | -0.51% | -$1,220 | 5 | 40.0% | -1.97% | |
| May 2026 | -2.32% | -$5,659 | 5 | 20.0% | -2.32% | |
| Apr 2026 | +3.39% | $8,023 | 7 | 85.7% | -0.72% | |
| Mar 2026 | +0.60% | $1,418 | 7 | 57.1% | -1.22% | |
| Feb 2026 | +1.59% | $3,686 | 3 | 33.3% | -0.80% | |
| Jan 2026 | -1.66% | -$3,905 | 5 | 40.0% | -2.11% | |
| Dec 2025 | -0.69% | -$1,634 | 7 | 57.1% | -1.51% | |
| Nov 2025 | +1.16% | $2,715 | 7 | 57.1% | -1.51% | |
| Oct 2025 | -0.77% | -$1,822 | 5 | 60.0% | -2.07% | |
| Sep 2025 | +0.20% | $465 | 4 | 50.0% | -1.33% | |
| Aug 2025 | +0.51% | $1,196 | 3 | 66.7% | -0.71% | |
| Jul 2025 | -0.27% | -$624 | 7 | 42.9% | -1.36% | |
| Jun 2025 | -2.17% | -$5,221 | 5 | 40.0% | -2.17% | |
| May 2025 | -0.14% | -$335 | 5 | 40.0% | -1.25% | |
| Apr 2025 | -1.39% | -$3,396 | 6 | 33.3% | -1.87% | |
| Mar 2025 | -3.52% | -$8,890 | 5 | 0.0% | -3.52% | |
| Feb 2025 | -0.98% | -$2,501 | 6 | 33.3% | -1.96% | |
| Jan 2025 | -2.16% | -$5,632 | 8 | 50.0% | -3.01% | |
| Dec 2024 | +1.48% | $3,813 | 9 | 55.6% | -1.20% | |
| Nov 2024 | +0.70% | $1,776 | 5 | 80.0% | -0.79% | |
| Oct 2024 | -2.31% | -$6,036 | 4 | 0.0% | -2.87% | |
| Sep 2024 | +2.94% | $7,474 | 9 | 77.8% | -0.63% | |
| Aug 2024 | +0.88% | $2,213 | 4 | 75.0% | -0.69% | |
| Jul 2024 | +4.27% | $10,296 | 7 | 71.4% | -1.53% | |
| Jun 2024 | +0.68% | $1,641 | 4 | 50.0% | -1.47% | |
| May 2024 | +5.56% | $12,618 | 3 | 100.0% | 0.00% | |
| Apr 2024 | -1.89% | -$4,373 | 5 | 20.0% | -1.89% | |
| Mar 2024 | -0.39% | -$912 | 9 | 55.6% | -2.16% | |
| Feb 2024 | +1.51% | $3,455 | 5 | 80.0% | -0.77% | |
| Jan 2024 | +2.09% | $4,692 | 11 | 81.8% | -0.78% | |
| Dec 2023 | -5.14% | -$12,159 | 8 | 12.5% | -5.90% | |
| Nov 2023 | +2.48% | $5,709 | 5 | 80.0% | -0.66% | |
| Oct 2023 | +2.86% | $6,422 | 6 | 66.7% | -0.64% | |
| Sep 2023 | -1.92% | -$4,388 | 5 | 40.0% | -1.92% | |
| Aug 2023 | +0.13% | $308 | 5 | 60.0% | -0.79% | |
| Jul 2023 | +1.06% | $2,393 | 7 | 71.4% | -0.66% | |
| Jun 2023 | +1.32% | $2,945 | 7 | 57.1% | -1.39% | |
| May 2023 | -0.01% | -$12 | 8 | 50.0% | -1.31% | |
| Apr 2023 | +1.25% | $2,742 | 10 | 40.0% | -1.45% | |
| Mar 2023 | -2.39% | -$5,387 | 6 | 50.0% | -3.08% | |
| Feb 2023 | -1.27% | -$2,896 | 5 | 40.0% | -1.95% | |
| Jan 2023 | -2.17% | -$5,061 | 7 | 28.6% | -2.87% | |
| Dec 2022 | -0.30% | -$702 | 5 | 60.0% | -1.47% | |
| Nov 2022 | +1.91% | $4,393 | 11 | 63.6% | -1.51% | |
| Oct 2022 | +1.10% | $2,497 | 5 | 80.0% | -0.79% | |
| Sep 2022 | +1.59% | $3,559 | 3 | 66.7% | -0.67% | |
| Aug 2022 | +4.85% | $10,347 | 7 | 100.0% | 0.00% | |
| Jul 2022 | +0.81% | $1,717 | 7 | 71.4% | -1.45% | |
| Jun 2022 | -0.76% | -$1,628 | 7 | 42.9% | -2.22% | |
| May 2022 | +0.02% | $41 | 3 | 33.3% | -1.38% | |
| Apr 2022 | -1.84% | -$3,989 | 6 | 33.3% | -1.87% | |
| Mar 2022 | -0.31% | -$675 | 6 | 50.0% | -0.72% | |
| Feb 2022 | +2.61% | $5,546 | 7 | 100.0% | -0.65% | |
| Jan 2022 | +1.44% | $3,007 | 7 | 71.4% | -0.80% | |
| Dec 2021 | +1.25% | $2,584 | 5 | 80.0% | -0.58% | |
| Nov 2021 | +0.23% | $477 | 6 | 50.0% | -1.36% | |
| Oct 2021 | -0.39% | -$811 | 6 | 50.0% | -1.30% | |
| Sep 2021 | +2.30% | $4,661 | 9 | 44.4% | -1.65% | |
| Aug 2021 | +2.13% | $4,223 | 7 | 85.7% | -1.47% | |
| Jul 2021 | -1.19% | -$2,390 | 5 | 40.0% | -2.06% | |
| Jun 2021 | +1.33% | $2,643 | 5 | 60.0% | -0.73% | |
| May 2021 | +0.95% | $1,867 | 6 | 83.3% | -0.68% | |
| Apr 2021 | +1.63% | $3,144 | 6 | 50.0% | -2.10% | |
| Mar 2021 | -0.47% | -$902 | 3 | 33.3% | -1.28% | |
| Feb 2021 | -1.12% | -$2,195 | 6 | 33.3% | -2.26% | |
| Jan 2021 | +0.92% | $1,790 | 8 | 62.5% | -0.79% | |
| Dec 2020 | -1.21% | -$2,372 | 5 | 40.0% | -1.36% | |
| Nov 2020 | -1.74% | -$3,485 | 4 | 25.0% | -1.93% | |
| Oct 2020 | +3.01% | $5,848 | 10 | 70.0% | -1.30% | |
| Sep 2020 | +2.13% | $4,057 | 8 | 87.5% | -0.78% | |
| Aug 2020 | -0.95% | -$1,822 | 8 | 50.0% | -1.73% | |
| Jul 2020 | +0.57% | $1,088 | 8 | 50.0% | -2.08% | |
| Jun 2020 | +0.26% | $498 | 7 | 57.1% | -1.36% | |
| May 2020 | -0.60% | -$1,151 | 7 | 57.1% | -1.50% | |
| Apr 2020 | +0.12% | $232 | 7 | 57.1% | -1.68% | |
| Mar 2020 | +0.77% | $1,456 | 6 | 66.7% | -1.47% | |
| Feb 2020 | -1.70% | -$3,293 | 4 | 25.0% | -1.70% | |
| Jan 2020 | +1.79% | $3,406 | 8 | 75.0% | -1.20% | |
| Dec 2019 | -1.38% | -$2,650 | 2 | 50.0% | -1.58% | |
| Nov 2019 | -1.70% | -$3,329 | 8 | 50.0% | -1.70% | |
| Oct 2019 | +1.81% | $3,490 | 11 | 72.7% | -2.09% | |
| Sep 2019 | +0.91% | $1,738 | 4 | 50.0% | -1.51% | |
| Aug 2019 | +0.12% | $220 | 7 | 57.1% | -1.50% | |
| Jul 2019 | -2.19% | -$4,273 | 3 | 0.0% | -2.19% | |
| Jun 2019 | -1.75% | -$3,464 | 8 | 50.0% | -2.60% | |
| May 2019 | +1.55% | $3,032 | 9 | 55.6% | -1.60% | |
| Apr 2019 | +7.22% | $13,135 | 5 | 100.0% | 0.00% | |
| Mar 2019 | -1.18% | -$2,173 | 6 | 50.0% | -2.38% | |
| Feb 2019 | +1.12% | $2,043 | 3 | 100.0% | 0.00% | |
| Jan 2019 | +1.28% | $2,309 | 7 | 57.1% | -1.24% | |
| Dec 2018 | +0.67% | $1,193 | 5 | 60.0% | -0.71% | |
| Nov 2018 | -0.42% | -$761 | 5 | 60.0% | -0.75% | |
| Oct 2018 | +1.21% | $2,147 | 7 | 71.4% | -1.49% | |
| Sep 2018 | +4.90% | $8,284 | 7 | 85.7% | 0.00% | |
| Aug 2018 | +3.83% | $6,236 | 11 | 72.7% | -0.80% | |
| Jul 2018 | +3.27% | $5,153 | 9 | 77.8% | -0.78% | |
| Jun 2018 | +3.14% | $4,797 | 6 | 83.3% | -0.77% | |
| May 2018 | +1.22% | $1,838 | 4 | 50.0% | -0.58% | |
| Apr 2018 | -1.00% | -$1,532 | 10 | 60.0% | -2.72% | |
| Mar 2018 | +1.93% | $2,881 | 8 | 87.5% | -0.75% | |
| Feb 2018 | +3.42% | $4,940 | 5 | 100.0% | 0.00% | |
| Jan 2018 | -0.67% | -$970 | 6 | 33.3% | -1.11% | |
| Dec 2017 | +1.59% | $2,284 | 5 | 80.0% | -0.78% | |
| Nov 2017 | +2.33% | $3,260 | 4 | 100.0% | 0.00% | |
| Oct 2017 | +0.75% | $1,044 | 4 | 50.0% | -0.69% | |
| Sep 2017 | +1.67% | $2,281 | 7 | 42.9% | -2.03% | |
| Aug 2017 | +2.74% | $3,642 | 8 | 87.5% | -0.71% | |
| Jul 2017 | +1.14% | $1,499 | 4 | 75.0% | -0.59% | |
| Jun 2017 | +0.98% | $1,280 | 3 | 66.7% | -0.78% | |
| May 2017 | +2.86% | $3,629 | 5 | 60.0% | -0.70% | |
| Apr 2017 | +1.89% | $2,349 | 5 | 40.0% | -2.05% | |
| Mar 2017 | -1.24% | -$1,563 | 7 | 42.9% | -2.06% | |
| Feb 2017 | +1.94% | $2,395 | 7 | 71.4% | -0.72% | |
| Jan 2017 | -0.11% | -$134 | 8 | 50.0% | -1.69% | |
| Dec 2016 | +0.41% | $508 | 8 | 62.5% | -0.73% | |
| Nov 2016 | +1.30% | $1,579 | 7 | 71.4% | -1.23% | |
| Oct 2016 | +3.57% | $4,186 | 10 | 80.0% | -0.66% | |
| Sep 2016 | +0.75% | $870 | 10 | 60.0% | -1.39% | |
| Aug 2016 | -0.26% | -$300 | 8 | 62.5% | -1.44% | |
| Jul 2016 | +1.34% | $1,546 | 6 | 50.0% | -1.97% | |
| Jun 2016 | +0.47% | $543 | 5 | 80.0% | -0.74% | |
| May 2016 | +8.41% | $8,906 | 8 | 62.5% | -0.74% | |
| Apr 2016 | -0.32% | -$334 | 7 | 71.4% | -1.56% | |
| Mar 2016 | +0.72% | $759 | 4 | 50.0% | -1.43% | |
| Feb 2016 | -1.35% | -$1,444 | 3 | 33.3% | -1.35% | |
| Jan 2016 | +6.85% | $6,852 | 7 | 71.4% | -0.77% |
| Year | Return | P&L | Trades | Win % | Max DD | Best mo | Worst mo |
|---|---|---|---|---|---|---|---|
| 2016 | +23.7% | $23,669 | 83 | 65.1 | -2.7% | 8.4% | -1.4% |
| 2017 | +17.8% | $21,966 | 67 | 62.7 | -2.6% | 2.9% | -1.2% |
| 2018 | +23.5% | $34,208 | 83 | 71.1 | -2.7% | 4.9% | -1.0% |
| 2019 | +5.6% | $10,078 | 73 | 58.9 | -6.2% | 7.2% | -2.2% |
| 2020 | +2.4% | $4,463 | 82 | 58.5 | -4.4% | 3.0% | -1.7% |
| 2021 | +7.8% | $15,093 | 72 | 56.9 | -4.4% | 2.3% | -1.2% |
| 2022 | +11.5% | $24,112 | 74 | 66.2 | -4.9% | 4.8% | -1.8% |
| 2023 | -4.0% | -$9,384 | 79 | 48.1 | -7.7% | 2.9% | -5.1% |
| 2024 | +16.4% | $36,658 | 75 | 64.0 | -4.0% | 5.6% | -2.3% |
| 2025 | -9.8% | -$25,680 | 68 | 44.1 | -10.5% | 1.2% | -3.5% |
| 2026 | +1.0% | $2,342 | 32 | 50.0 | -4.9% | 3.4% | -2.3% |
Turn-of-month flows, pre-holiday drift and index-rebalance windows produce small but persistent directional biases. Individually marginal, jointly tradeable when costs are respected.
Backtest only, and the most fragile idea in the archive: seasonality decays as it is discovered. Post-2014 out-of-sample returns are visibly weaker than the in-sample era, which is exactly the point of showing it.
Backtest · out-of-sample from 2016, in-sample discovery window ends 2014.
| US500 | 168 | 67.3% | $70,777 |
| USOIL | 168 | 61.9% | $49,974 |
| JP225 | 154 | 59.7% | $29,004 |
| XAUUSD | 143 | 57.3% | $8,443 |
| GER40 | 155 | 49.7% | -$20,672 |
| Sydney | 70 | 64.3% | $13,764 |
| Tokyo | 249 | 57.0% | $26,682 |
| London | 142 | 61.3% | $21,026 |
| London/NY | 160 | 62.5% | $55,228 |
| New York | 167 | 56.3% | $20,825 |
Research backtest with modelled costs. Not a live track record and not a projection of future returns. Past performance is not indicative of future results.