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Turn of the Month

iTradeAIMS | NAS100 Turn-of-Month (short title AIMS TOM) is a calendar / seasonal strategy — not an intraday setup. It holds a long Nasdaq-100 position during a short window around the turn of each calendar month, based on published research (McConnell & Xu, 2008).

Because it trades only a handful of windows per year, costs can be lower per trade than high-frequency intraday systems — but past seasonal patterns can weaken as they become widely known. Strategy Tester output remains a historical simulation, not a promise of future returns.

Overnight and multi-day risk

Unlike the other edge engines, this script holds overnight and across multiple sessions. Factor gap risk, swap/funding, and broker margin rules into any live use. Not financial advice.

Historical simulation only

Strategy Tester results are historical simulations. The effect has attenuated in recent years compared with long-horizon academic samples. Not financial advice.

Publish status

This edge-engine script is publish pending in docs. Use the listed chart name only when it appears in your TradingView access list.

Design timeframe​

Daily chart only. Logic counts trading days around month boundaries. On a daily Nasdaq-100 chart each bar is one session — matching how the research counts days. Intraday timeframes distort the day count.

Use NAS100, US100, NDX, or QQQ on a daily chart for the cleanest review.

How it works​

  1. Window: from the last N days before month-end (default 1) through the first M trading days of the next month (default 3).
  2. Entry: go long when the window opens.
  3. Exit: flat when the window closes.
  4. Regime gate (optional): skip the window when close is below the 200-period SMA (off by default).
  5. Sizing: a set % of equity as directional exposure (default 100% — fully invested during the window).

There is no intraday stop or target because this is a calendar hold, not a breakout or pullback setup.

What to look for on the chart​

VisualMeaning
Green window shadingThe turn-of-month window is active and a position can be held
Red window shadingThe calendar window exists but the 200-SMA regime gate blocks it
Month-turn markerFirst bar of a new month
200-SMA regime lineGreen above / red below
TOM in / TOM out labelsEntry and exit markers
Dashboard IN WINDOW / flatCurrent calendar state
Teaching diagram of NAS100 turn-of-month — window shading, TOM in/out labels, and 200-SMA
Teaching diagram — TOM calendar identity from the Pine visuals. Daily chart only.

Key inputs​

GroupInputDefaultNotes
Turn-of-Month windowPosition size (% equity)100Unlevered hold
Turn-of-Month windowTrading days BEFORE month-end1Last-day entry framing
Turn-of-Month windowTrading days AFTER month-start3Post-turn leg
Turn-of-Month windowOnly when close > 200-SMAoffRegime gate
VisualsTurn-of-month window shadingonShows active / blocked windows
VisualsMonth-turn markersonMarks first bar of month
Visuals200-SMA regime line (coloured)onShows regime gate context

Chart overlays​

  • Turn-of-month window shading — green where a position is held; red where the regime gate blocks
  • Month-turn markers — vertical on each month's first bar
  • 200-SMA regime line — green above / red below
  • Entry/exit markers (no R:R boxes — calendar hold, not a stop/target trade)

Instrument​

NAS100, US100, NDX, or QQQ on a daily chart for the cleanest history.

Caveats​

  • The academic effect was strong over long historical samples; recent years may show a smaller edge than older studies.
  • Weekend month-ends can shift the pre-turn entry to the first bar of the new month; the post-turn leg still applies.
  • This is the one edge engine that does not follow the intraday flat-overnight pattern of ORB, ATR breakout, and VWAP trend.

First-session checklist​

  1. Chart timeframe is Daily.
  2. Window shading and month-turn markers are visible.
  3. You understand that positions can hold overnight and across weekends/holidays.
  4. Strategy Tester includes enough years to review more than a handful of windows.
  5. You account for funding, gap risk, and broker margin before considering live use.

Next steps​