Turn-of-the-month long
The turn-of-the-month effect is one of the best-known calendar patterns: stock indices have historically tended to rise in the last few days of one month and the first few of the next. This strategy tests it on NIFTY futures by buying at the close two sessions before month end and selling at the close of the third session of the new month, every month, with no stop.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
With 13 trades no condition can be called reliable. What happened during the five-session hold decided each result: the 6 holds when NIFTY rose more than 1% made ₹1,23,643, and the 5 when it fell more than 1% lost ₹1,70,545. That is the whole bet, since there is no stop or target. Entries made at the close of a quiet session lost ₹1,28,095 over 7 trades, while the 6 entries after trend or choppy sessions made a combined ₹54,841. The calendar alone did not tilt the odds in this period.
About this strategy
- Using the exchange calendar, find the month's last trading session; holidays are skipped automatically.
- At the close of the second-to-last session of the month, buy one lot of near-month NIFTY futures.
- Optionally, buy only if the futures close is above a chosen simple moving average; this filter is off by default.
- Hold through the month change, with no stop and no target.
- Sell at the close of the third trading session of the new month.
- If the monthly expiry falls inside the hold, close at the expiry close and carry the rest of the hold in the next month's contract, which shows as two trades.
Why traders use it
The usual explanation is money flow: salaries, pension and fund inflows arrive around month end and get invested in the first days of the new month, and fund managers may dress up portfolios before month-end reporting. The rule needs no indicators, only a calendar, and it is in the market for just five sessions a month. It is widely cited in research on many markets, which makes it a natural first seasonality test for Indian traders.
The year in plain words
On NIFTY from 1 Oct 2025 to 30 Sep 2026 the strategy traded around eleven month ends, logging 13 trades because two holds crossed a futures expiry. Six made money and seven lost, and the average loss (₹28,128) was larger than the average win (₹20,607). Net P&L was a ₹73,254 loss before costs and ₹76,967 after ₹20 per order and slippage. The March 2026 turn alone lost ₹82,920, while April made ₹38,668. In this period the calendar pattern did not show up on NIFTY.
What the settings do
Risks
- The position holds overnight for about five sessions with no stop, exposed to every gap.
- Calendar effects rest on few observations a year and can fade or disappear.
- When the monthly expiry falls inside the window, the roll adds an extra pair of orders and costs.
- A futures lot moves point for point with NIFTY, so one bad month can erase several good ones.
Who it suits
Traders interested in seasonality who want a simple monthly positional trade with no indicators, can carry futures margin overnight for a week, and accept that calendar edges are uncertain.
Questions traders ask
What is the turn of the month effect?
It is the tendency, found in studies of many stock markets, for prices to rise more around the last few days of one month and the first few of the next than at other times. Month-end inflows and portfolio rebalancing are the usual explanations.
Does the turn of the month effect work in the Indian market?
In this NIFTY futures backtest from 1 Oct 2025 to 30 Sep 2026 it did not: the strategy won 6 of 13 trades and lost money overall. One year is a small sample for a calendar effect, which needs many years to judge.
Is the turn of the month strategy profitable?
With default settings it lost ₹73,254 before costs and ₹76,967 after ₹20 per order and bid-ask slippage, with a ₹1,00,749 drawdown before costs. STT and other statutory charges would add to the loss. Past results do not guarantee future ones.
What does the SMA filter do?
With the filter set to 100 or 200, the month-end trade is taken only if NIFTY futures close above that moving average, so the strategy stands aside in downtrends. It is off by default, so every month is traded.