Was ist der Trading Day of Month (TDOM)?

Der TDOM (Trading Day of Month) ist die laufende Nummer eines Handelstags innerhalb eines Monats: TDOM 1 ist der erste Handelstag, TDOM 2 der zweite und so weiter. Wochenenden und Börsenfeiertage werden übersprungen, deshalb ist der TDOM von Kalendertagen entkoppelt. Der Monatszyklus untersucht, welche dieser Handelstage historisch besonders stark oder schwach waren.

Was ist der Turn-of-Month-Effekt?

Als Turn-of-Month wird das Fenster rund um den Monatswechsel bezeichnet, also die letzten Handelstage eines Monats und die ersten Handelstage des Folgemonats. In vielen Aktienmärkten zeigte dieses Fenster historisch überdurchschnittliche Renditen. Der Monatszyklus macht solche Muster sichtbar, indem er die durchschnittliche Entwicklung je TDOM darstellt.

Ist der TDOM für jede Börse gleich?

Nein. Der TDOM ist börsenspezifisch, weil jede Börse einen eigenen Feiertagskalender hat. XETRA handelt zum Beispiel an Tagen, an denen die NYSE geschlossen ist, und umgekehrt. Dadurch kann derselbe Kalendertag an zwei Börsen unterschiedliche TDOM-Werte haben. SeasonAlpha leitet den TDOM aus dem Handelsplatz des jeweiligen Tickers ab, nicht aus dem Heimatland des Unternehmens.

Monatszyklus — ^GSPC

Intra-Month Seasonality · Weeks · Two-Week · Heatmap

📚 Methodology

Calculations

TDOM (Trading Day of Month) = sequential number of the trading day within the month (1, 2, 3, ...). Decoupled from calendar days — weekends and holidays are skipped.
Intra-Month Curve: cumulative log-returns from last trading day of previous month (TDOM 0 = 0%). One curve per year, then averaged.
Solid/Weak Split: TDOMs with n<10 observations are marked as a dashed red line (statistically uncertain).
Detrend Indicator: Linear trend is subtracted, scaled to 0–100, midline=50. Above 50 = seasonally strong, below 50 = seasonally weak.
Two-Week Split: Month divided into two halves at the selected TDOM (slider 5–15). 1st = TDOM 1..X, 2nd = TDOM X+1..end.
Seasonal Match: Pearson correlation + DTW (Dynamic Time Warping) + t-test between current month progression and historical average.
Presidential Cycle: Election year / Post-election year / Midterm year / Pre-election year according to formula ((year-2020)%4+4)%4+1.
Momentum Check: conditional probability that the second half continues the sign of the first.

Understanding the Monthly Cycle — TDOM Seasonality, Turn-of-Month & Methodology

SeasonAlpha's Monthly Cycle shows the intra-month seasonality of a market: which trading days of the month have historically been particularly strong or weak. This is measured via the TDOM (Trading Day of Month) — the sequential number of a trading day within the month. TDOM 1 is the first trading day, TDOM 2 the second, and so on; weekends and exchange holidays are skipped. Instead of asking “How does July perform?”, the Monthly Cycle answers the finer question: “How does a typical month unfold from the inside — from the first to the last trading day?” A classic pattern is the turn-of-month effect, meaning notable returns around the month boundary.

The core intra-month progression averages, for each TDOM, the cumulative performance across all selected years. If the curve rises over a range of TDOMs, that phase of the month was historically typically strong; if it falls, it was typically weak. The strongest days often cluster at the start and the end of the month (turn-of-month), while mid-month tends to be weaker — though the magnitude varies considerably by market and period. SeasonAlpha additionally splits the month into weeks and two halves (two-week split) and shows a multi-year heatmap, so you can tell whether a pattern was consistent across the years or driven by just a few outlier years.

Methodologically, the Monthly Cycle works with normalized returns: for each year, the month's progression is built from daily log returns starting at the last trading day of the previous month (TDOM 0 = 0%) and then averaged across all years — not the absolute price change. Crucially, the TDOM is exchange-specific: every exchange has its own holiday calendar, so XETRA, the NYSE or the LSE can have different TDOM values on the same calendar date. SeasonAlpha derives the TDOM from the trading venue of the ticker, not from the company's home country. Alongside the average return per day or half, it reports the win rate (share of years with a positive return) and the number of observations (n), so you can judge statistical reliability.

The Monthly Cycle is a statistical tool for context, not investment advice and not a forecast. The patterns shown describe the past — a historically strong TDOM range does not guarantee a future repeat. Seasonal effects can weaken, shift, or be overridden by broader market trends, news and liquidity. Pay particular attention to sample size: days with few observations (n) are flagged by the tool as statistically uncertain. Use the Monthly Cycle as additional context for your own research, not as a sole basis for decisions. Past seasonality is no guarantee of future results.

Frequently Asked Questions

What is the Trading Day of Month (TDOM)? The TDOM is the sequential number of a trading day within a month: TDOM 1 is the first trading day, TDOM 2 the second, and so on. Weekends and exchange holidays are skipped, which is why the TDOM is decoupled from calendar days. The Monthly Cycle examines which of these trading days have historically been particularly strong or weak.

What is the turn-of-month effect? Turn-of-month refers to the window around the month boundary — the last trading days of one month and the first trading days of the next. In many equity markets this window has historically shown above-average returns. The Monthly Cycle makes such patterns visible by plotting the average performance per TDOM.

Is the TDOM the same for every exchange? No. The TDOM is exchange-specific because each exchange has its own holiday calendar. XETRA, for example, trades on days when the NYSE is closed, and vice versa. As a result, the same calendar date can have different TDOM values on two exchanges. SeasonAlpha derives the TDOM from the trading venue of each ticker, not from the company's home country.