Subject: Re: Chart: timing with Nas100 RS screen
I checked the "Turn-of-the-month" effect on the screen I announced with the timing rule (sell and stay out of the market if SPY<325 day SMA), buy 5 or 10 Nasdaq100 stocks by the best 9 month price momentum.
Using "buy on the first day of a month at the close using the previous day's closing price to calculate which stocks to buy, and if the timing rule was triggered"= trade day -1 using day -2's data.
I looked at buying later or earlier.
Buying earlier, on the last day of the month based on the 2nd-to-last day's closing prices,
to the 5th-to-last day using the 6th to last day's closing prices,
was better for the collective period of the backtest 10/93 forward.
But it has weakened since 2000.

I ran the breakdown on the Top-5 strategy, comparing:

Current workflow: signal on −1 (data from the last trading day of month; trade next day i.e. trade the first day of the next month).

Late-month workflow: signal on −6 (6th trading day before month-end; trade next day i.e. the 5th-to-last day of the month instead)


Decade robustness
Period	−1 current −6 late-month Difference
1994–1999	73.9%	84.7%	+10.8%
2000–2009	10.6%	14.5%	+3.9%
2010–2019	16.7%	21.2%	+4.5%
2020–2026	28.7%	28.5%	−0.2%

Interesting point:

It did not reverse recently.
It mostly just disappeared recently.



So:

pre-2020: persistent advantage in trading earlier, i.e. in the final week of a month rather than the 1st of the next month.
post-2020: essentially flat difference
during major stress periods
Dot-com collapse (2000–2002)
Workflow	CAGR	MDD
−1	4.4%	-63%
−6	8.7%	-60%
Financial crisis (2007–2009)
Workflow	CAGR	MDD
−1	7.9%	-58%
−6	10.8%	-54%
COVID crash (2020)
Workflow	CAGR	MDD
−1	31.1%	-35%
−6	30.4%	-36%
Inflation / tech bear (2022)
Workflow	CAGR	MDD
−1	17.3%	-40%
−6	16.9%	-42%
SPY regime split

When SPY >325d SMA:

Workflow	CAGR
−1	28.2%
−6	31.6%

When SPY <325d SMA:

Workflow	CAGR
−1	0.4%
−6	0.6%

So almost all of the difference occurs during favorable market environments.

My conclusion after the robustness check:

Originally I thought:

"switch everyone to late-month"

Now I would soften that.

The result looks more like:

a historically useful enhancement whose advantage has weakened after 2020.

So use as you see fit.  In a way it makes it easy: during the last week of a month do your trading whenever you have time but get it done on or before the 1st of the next month.