Calendar: 8 Backtests

We backtested 8 calendar strategies across crypto, ETFs, US stocks. 0 beat buy-and-hold before correction; best −5.6 pts/yr.

Every result below is the strategy's annualized return minus buy-and-hold on the same assets and days, charged real trading costs and scored only on data up to the discovery cutoff. See the full family index, the full method and every result, or download the raw registry (JSON).

0 of these 8 strategies were significant at p < 0.05 before any correction for multiple testing, and 0 of 8 beat buy-and-hold on the raw excess-return number across crypto, ETFs, US stocks. Across the whole registry we ran 260 tests and applied one Benjamini-Hochberg correction; only 0 of those survived it, which is why a single significant p-value inside one family isn't treated as a working edge here — the correction is explained in full on the evidence page. This family was last re-scored on 2026-09-18, using only data up to the 2025-03-15 discovery cutoff — the same freeze point every family in the registry is held to, so none of them can see data the others couldn't. Calendar is tested across 3 asset classes (crypto, ETFs, US stocks); a strategy only joins this family because of the signal it trades on, not the asset it's tested against.

• End-of-quarter window dressing bounce (ETFs): −5.6 pts/yr, behind buy-and-hold, p=1.000. Source: Lakonishok, Shleifer, Thaler, Vishny 1991 J. Finance ('window dressing').
• Turn-of-month equity drift (wide US stocks) (US stocks): −10.1 pts/yr, behind buy-and-hold, p=1.000. Source: Lakonishok & Smidt 1988 RFS; McConnell & Xu 2008 FAJ.
• Turn-of-month equity drift (ETFs): −10.4 pts/yr, behind buy-and-hold, p=1.000. Source: Lakonishok & Smidt 1988 RFS; McConnell & Xu 2008 FAJ.
• Quadruple-witching-day reversal (ETFs): −13.5 pts/yr, behind buy-and-hold, p=1.000. Source: Stoll & Whaley 1987 JFQA (expiration-day effects); popular retail folklore 2020s.
• Lunar New Year Asia-driven crypto seasonality (crypto): −26.6 pts/yr, behind buy-and-hold, p=1.000. Source: Crypto trade-press/exchange volume commentary (CryptoQuant/Kaiko notes).
• Crypto turn-of-month drift (crypto): −44.8 pts/yr, behind buy-and-hold, p=1.000. Source: Lakonishok & Smidt 1988 RFS turn-of-month, tested here for the crypto-specific absence of the equity mechanism.
• Crypto perpetual funding-reset time drift (crypto): −53.5 pts/yr, behind buy-and-hold, p=1.000. Source: Exchange/trader community commentary on funding-time microstructure.
• Crypto weekend low-volume drift (crypto): −56.9 pts/yr, behind buy-and-hold, p=1.000. Source: Kaiser 2019 Financial Markets and Portfolio Mgmt; Aharon & Qadan 2019 J. Behavioral Finance.

Related families: Trading books, Other, Sentiment.