I was reading a blog post by James Altucher who commented on the trading strategy of buying on the last day of the month, and selling on the first day:
It’s probably the most important trading day of the month, as inflows come in from 401(k) plans, 1RAs, etc. and mutual funds have to go out there and put this new money into stocks. Over the past 16 years, buying the close on SPY (the S&P 500 ETF) on the last day of the month and selling one day later would result in a successful trade 63% of the time with an average return of 0.37% (as opposed to 0.03% and a 50%-50% success rate if you buy any random day during this period).
Various conditions take place that improve this result significantly. For instance …. one of his traders showed me a system and said, “If you show this to anyone we will have to kill you.”
Basically, the system was: If the last half of the last day of the month was negative and the first half of the first day of the month was negative, buy at 11 a.m. and hold for the rest of the day. “This is an ATM machine” the trader told me.
I leave it to the reader to test this system.