Implemented Strategies: Calendar Anomalies Part 1

[WITH CODE] High performance and risk-adjusted return calendar anomalies back-tested in python

Hello!

Today, I’m returning to the format of my first two implemented strategy posts, this time exploring the performance and risk-adjusted returns of well-documented calendar anomalies from academic research.

In my Recent Academic Research posts, I’ve highlighted multiple papers demonstrating how certain return patterns in the U.S. stock market can be exploited for outperformance. These strategies capitalize on periods of abnormally high or low returns at specific times of the year.

The code for paid subscribers has been sent directly to your inbox. If you become a paid subscriber after this post goes live, I’ll send it to you within 24 hours.

Next week, I’ll continue investigating additional calendar anomalies, and eventually, I’ll combine the strongest, highest Sharpe-ratio anomalies into a single strategy. Stay tuned for those paid-only posts.

Let’s get into it.