TDoM Analysis — SPY

Average return, win rate and heatmap per trading day of the month

Methodology

Data Basis

  • Data source: Supabase (Yahoo Finance OHLC), updated daily
  • Required: Open + Close prices
  • Period: Selectable 5–30 years or Max

Strategies

  • Intraday (Open → Close): Daily return during the trading session
  • Overnight (Open → next Open): Incl. overnight gap
  • Close → next Close: Standard Close-to-Close (24h)

TDoM Counting

  • Forward: TDoM 1 = first trading day of the month, 2 = second, ... up to ~23
  • Backward: TDoM -1 = last trading day, -2 = second-to-last, ... down to ~-23

Multi-Day Range

  • Entry at TDoM X (Open or Close), Exit at TDoM Y
  • Example: TDoM 1 Open → TDoM -1 Close = "Buy 1st day, sell last day"
  • Equity curve shows cumulative performance of the selected months