Turn of the month

Checked October 2026

The turn of the month is long the market from the last trading day of the month through the third trading day of the next, and in cash otherwise. McConnell and Xu measured the window in the Financial Analysts Journal in 2008, after Lakonishok and Smidt had shown it on the Dow. Backtoast ran it on SPY. The standard version made 2.1% a year at +0.19% a trade, but failed our test on trade frequency and outlier dependence.

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You pay $99 for two full tests of your own strategy, and a pass is an offer of 30% of the profit Backtoast makes trading it with its own money.

Turn of the month

The trade buys SPY at the close two trading days before the month ends and sells at the close on the third trading day of the next, so it's in the market about four days a month and in cash the rest.

The bitcoin Monday effect is the crypto calendar rule here, and the gold autumn effect the futures one.

When it works

The usual explanation is the cash that arrives around month-end, pay and pension contributions that get invested in the first days of the new month. It was strongest in the last six months of our run, at +1.45% a trade. Traders use it to hold stocks about four days a month instead of all month, and a draft can test a wider or narrower window before you spend a full test.

Origins

McConnell and Xu found US stocks averaged 0.15% a day in that window from 1926 to 2005, and slightly below zero on the other 16 days of the month. The paper reports returns, not a trading rule, so buying at the close before the window is how a test turns it into one. The run is from late 2021 to October 2026.

The run is Backtoast's, from 29 October 2026, after costs.