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Gated

SPY Turn-of-Month Calendar Research

Robustness finished with something to look at.

Results are visible to everyone. Rules are private.

version: 1
market: Stocks, 1 day

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FeasibilityPassed
Walk-forwardPassed
Best settingsOptional
RobustnessGated
Final checksNot started
Paper tradingNot started
LiveLocked

FeasibilityPassed
Walk-forwardPassed
Best settingsOptional
RobustnessGated
Final checksNot started
Paper tradingNot started
LiveLocked

Research summary

Return

+2.2%

Worst drop

−19.9%

Trades

219

MAR ratio

0.11

Research record

Feasibility+17.0% over 5000 bars · worst drop −24.6% · 237 tradesPassed
Walk-forward7 of 12 rounds profitable out of sample · mean +2.2% per roundPassed
Best settingsNo summary recordedNot run
Robustness4 of 6 scenarios passedGated
Final checksNo summary recordedNot run

What it trades

Markets: Stocks
Symbols: SPY
Timeframe: 1 day
Direction: Long only
Costs: 1 bps fees + 4 bps slippage

The rules are private

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SPY Turn-of-Month Calendar Research | Algo Factory