Seasonal / Calendar Effect Strategy
Purpose
Uses time-based regularities in financial markets (month effects, day-of-week effects, and similar patterns) to generate trading signals. Examples include the China A-share "spring rally" (January-March) and the "sell in May" effect.
Signal Logic
Month Effect (Default)
- Specified bullish months → go long
- Specified bearish months → go short / stay out
- All other months → stay flat
Day-of-Week Effect (Optional Overlay)
- Monday / Friday effects
- Start-of-month / end-of-month effects
Combined Mode
Month signal × weekday signal; open a position only when both confirm.
Common Calendar Effects Reference
| Effect | Description | Reference Configuration |
|---|---|---|
| Spring rally | Higher probability of gains in China A-shares from January to March | bullish_months=[1,2,3] |
| Sell in May | Weaker performance from May to October | bearish_months=[5,6,7,8,9,10] |
| Year-end effect | Institutional rebalancing in December | bullish_months=[11,12] |
| Monday effect | Lower returns on Mondays | bearish_weekdays=[0] |
| Friday effect | Higher returns on Fridays | bullish_weekdays=[4] |
