Equity · United States · CFDs, ETFs, futures · Intraday · United States Free

Shorting Stocks During the Last Hour of Month

Academic paper

Turn-of-the-Month: Window Dressing Behavior

AuthorsLena Nord Nilsson

Institute

Institut de Mécanique et d'Ingénierie
?NilssonHedge.com

Paper linkhttps://papers.ssrn.com/sol3/papers.cfm?abstract_id=2648136

Strategy in a nutshell

This strategy shorts S&P 500 or small-cap index futures from 3 PM to 4 PM EST on the last trading day of each month, then closes positions. Leverage can be applied to enhance returns.

Economic rationale

Month-end window-dressing by institutions often creates predictable bearish pressure during the last trading hour. Small-cap indices are easier to influence, potentially yielding stronger shorting outcomes than large-cap indices.

Backtest performance

Annualised return1.8%

Beta-0.034

Sortino ratio-0.186

Win rate56%

Full Python code

1from AlgorithmImports import *
2class ShortingStocks(QCAlgorithm):
3def Initialize(self):
4self.SetStartDate(2002, 1, 1)
5self.SetCash(100000)
6self.symbol = self.AddEquity("SPY", Resolution.Minute).Symbol
7
8self.Schedule.On(self.DateRules.MonthEnd(self.symbol), self.TimeRules.At(15, 0), self.Open)
9self.Schedule.On(self.DateRules.MonthEnd(self.symbol), self.TimeRules.BeforeMarketClose(self.symbol, 1), self.Close)
10
11def Open(self):
12if not self.Portfolio[self.symbol].IsShort:
13    self.SetHoldings(self.symbol, -1)
14
15def Close(self):
16if self.Portfolio[self.symbol].IsShort:
17    self.Liquidate(self.symbol)