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Extremely simple buy around payday
Gee Mee
edited

Using the theory that prices go up around pay-day more than other days on average due to capital flowing into the market on those days.

This backtest assumes some leverage (5x 100% of cash is exposed to the market on each trade). This could probably be done IRL with CFD's.

Algorithm goes long around 3 days before the end of the month (invests 5x portfolio into benchmark) and closes all portfolio positions around 8 days after the start of month. That's all it does. No TA, no fundamentals, no machine learning.

2 responses
Georges Bilan

This is known as the "turn of the month effect"

http://docs.lib.purdue.edu/cgi/viewcontent.cgi?article=1042&context=ciberwp

Gee Mee

Thanks! Interesting :)

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