Strategies / Pattern / Turn Of The Month

Turn Of The Month: A Year-End Seasonal Trade

This seasonal system buys on or after the 21st of October, November or December. It sells on the first bar on or after the 19th of a later month, so it is mostly invested from late October to mid January.

PatternLong onlySwingBroadcomDaily

4.86Profit factor

26,859Net profit USD

74.47%Win rate

47Trades

-3,243Max drawdown

571Avg trade

Best run of 31. Broadcom, Daily, from run stock2-queue:2026-09-15-Broadcom.tsv:3.

Entry rules, long

Day of the month is 21 or later
Members only

Exit rules

Members only
No stop loss or target

Test conditions

Period	Up to 2026-09-15
Instrument	Broadcom, Daily
Capital per trade	10,000
Costs	Not recorded for this run.
Bars	Daily bars, full available history
Last tested	2026-09-15

Parameters

capitalPerTrade Money committed to each trade	10000
entryDay Buy from this day of the month	21
firstMonth First month of the seasonal window (October)	10
lastMonth Last month of the seasonal window (December)	12
exitDay Sell from this day of a later month	19

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
BroadcomBest run	Daily	4.86	47	74.47	26,859 USD	-3,243
Applied Materials	Daily	3.77	76	69.74	48,765 USD	-5,096
Cisco	Daily	3.76	98	65.31	51,204 USD	-6,090
Lam Research	Daily	3.54	98	67.35	74,663 USD	-6,829
AbbVie	Daily	2.99	36	63.89	11,429 USD	-2,844
Microsoft	Daily	2.94	109	63.30	39,750 USD	-4,086
Nvidia	Daily	2.88	73	56.16	58,341 USD	-7,474
Mastercard	Daily	2.82	55	74.55	17,605 USD	-4,980
Alphabet	Daily	2.65	33	66.67	8,006 USD	-2,397
Caterpillar	Daily	2.58	149	61.74	42,170 USD	-5,646
Tesla	Daily	2.47	44	56.82	32,099 USD	-7,582
Palantir	Daily	2.47	16	43.75	14,305 USD	-8,366
Visa	Daily	2.40	50	66.00	12,386 USD	-2,941
Eli Lilly	Daily	2.36	152	57.89	33,321 USD	-5,818
Oracle	Daily	2.27	109	56.88	42,717 USD	-7,799
AMD	Daily	2.18	126	61.90	77,459 USD	-13,082
S&P 500	Daily	2.18	156	64.10	19,279 EUR	-3,161
Intel	Daily	2.17	147	57.14	57,186 USD	-12,500
Costco	Daily	2.17	98	63.27	23,873 USD	-3,382
Micron	Daily	2.11	114	63.16	62,008 USD	-14,074
Berkshire Hathaway	Daily	2.04	82	64.63	13,808 USD	-4,239
Amazon	Daily	2.02	79	55.70	30,459 USD	-11,233
Apple	Daily	1.86	98	56.12	29,337 USD	-10,985
JPMorgan	Daily	1.85	149	62.42	33,373 USD	-8,571
ExxonMobil	Daily	1.68	149	57.72	17,289 USD	-4,267
Meta	Daily	1.63	39	61.54	7,425 USD	-4,199
Johnson & Johnson	Daily	1.62	149	60.40	14,359 USD	-4,389
Coca-Cola	Daily	1.54	149	49.66	12,337 USD	-3,832
Walmart	Daily	1.53	134	51.49	17,588 USD	-9,282
Chevron	Daily	1.43	82	50.00	7,526 USD	-4,802
Bank of America	Daily	1.38	82	57.32	11,941 USD	-12,489

Charts

Results by run

Profit factor by run

Above 1.0 made money, below 1.0 lost money.

Net profit against max drawdown

Net profitMax drawdown

The code

ProBuilder, rewritten to house standard

Every file in the library uses the same header, the same section order and the same variable names. The numbers above were produced by the original version before the rewrite, and the rewrite has not yet been compiled in ProRealTime.

// ============================================================
// Turn Of The Month
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Pattern
// Direction: Long only
// Timeframe tested: Daily
// ============================================================

// --- Settings ---
DEFPARAM CumulateOrders = false

// --- Parameters ---
capitalPerTrade = 10000   // money committed to each trade
entryDay = 21             // buy from this day of the month
firstMonth = 10           // seasonal window starts in October
lastMonth = 12            // and ends in December
exitDay = 19              // sell from this day of the following month

// --- Indicators ---
positionSize = capitalPerTrade / close

16 more lines: the entry and exit rules.

Read this first

Known weaknesses

There is no stop loss, so a year-end sell off is held until the exit date. Micron had a USD 14,073.99 drawdown.
Trades cluster in the same few weeks each year, so one bad season can hit every stock at once.
Broadcom has only 47 trades and Palantir 16, which is little data for a seasonal claim.

How to load it

Copy the code with the copy button above the code block.
In ProRealTime, open a chart of the instrument and timeframe you want to test, then open ProOrder > New trading system and choose "Create with programming".
Paste the code, give the system a name and save it.
Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Questions

About this strategy

Can this run automatically?

Yes, it runs in ProOrder on daily bars and buys 10000 divided by the close. The rewritten code has not been compile checked.

Which stocks were tested?

Large US stocks plus the S&P 500 on daily charts, and all runs were profitable. AMD made USD 77,458.75 and Lam Research USD 74,662.59.

What drawdown should I expect?

At 10000 USD per trade Broadcom had a maximum drawdown of USD 3,242.62. Bank of America reached USD 12,489.46.

Why only October to December?

The rules target the year-end period. Outside those months the system stays in cash.

ATR Band

Best run on the same market, Broadcom.

10.31 PF · 53 trades

Eight Bar Trend Follower

A similar profit factor.

5.19 PF · 280 trades

Winter Only

Also a pattern strategy.

14.53 PF · 49 trades

Curious about other calendar effects? The ProRealAlgos waitlist is open.

The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.

Past backtest results do not guarantee future results. This is not financial advice. Curated and maintained by ProRealAlgos. ProRealTime™ is a trademark of ProRealTime SAS. prorealalgos.com Stats Docs