Calendar / Seasonal Trading and Momentum Factor


Visit: Quantpedia


We are continuing in our short series of articles about calendar / seasonal trading. In our previous work, we have examined various calendar / seasonal equity trading strategies. 

Data and Strategy construction

Our backtesting period spans from 29.4.2004 to 21.9.2019 and the data of ETFs are available for free at Yahoo Finance.

Calendar block

The Turn of the Month – we would rebalance the Turn of the Month strategy on the first day of the month. Since the first day of the month is, on average, the best performing day of the whole month.

Federal Open Market Committee Meeting Effect in Stocks – dates of FED meetings are publicly known and available, the simple execution of this strategy could be made by buying ETF on a close day before the meeting and selling it on the close after the meeting.

Option-Expiration Week Effect – is connected with the Option-expiration week – a week before options expiration (Friday before each 3rd Saturday in each month). The investor buys the ETF on close each Friday before 3rd Saturday in the month and sells it on close again in the next week’s Thursday.

The Payday Effect – very similar to the Turn of-the Month (ToM) anomaly, a strategy that utilizes this effect consists of buying the ETF on close on the 15th day each month and selling it on close the next day. 

We would like to point out that deeper insight into calendar strategies is in the previous article. When the dates of strategy ETFs rebalancing are known, we can move into the momentum block of the strategy.

See the full article on Quantpedia website:

Disclosure: Interactive Brokers

Information posted on IBKR Traders’ Insight that is provided by third-parties and not by Interactive Brokers does NOT constitute a recommendation by Interactive Brokers that you should contract for the services of that third party. Third-party participants who contribute to IBKR Traders’ Insight are independent of Interactive Brokers and Interactive Brokers does not make any representations or warranties concerning the services offered, their past or future performance, or the accuracy of the information provided by the third party. Past performance is no guarantee of future results.

This material is from Quantpedia and is being posted with permission from Quantpedia. The views expressed in this material are solely those of the author and/or Quantpedia and IBKR is not endorsing or recommending any investment or trading discussed in the material. This material is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the extent that this material discusses general market activity, industry or sector trends or other broad based economic or political conditions, it should not be construed as research or investment advice. To the extent that it includes references to specific securities, commodities, currencies, or other instruments, those references do not constitute a recommendation to buy, sell or hold such security. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.

In accordance with EU regulation: The statements in this document shall not be considered as an objective or independent explanation of the matters. Please note that this document (a) has not been prepared in accordance with legal requirements designed to promote the independence of investment research, and (b) is not subject to any prohibition on dealing ahead of the dissemination or publication of investment research.

Any trading symbols displayed are for illustrative purposes only and are not intended to portray recommendations.