The End of Month Investment Strategy for the SPY's uses a 5 Day Stochastic which isn't smoothed and focuses on the last 6 days of the month and the first 4 days of the following month.  Thus during this 10 day window when the 5 Day Stochastic drops to 10 or below a Buy Signal is generated.  A simple example is shown below.

Back in late February and early March the 5 Day Slow Stochastic closed below 10 on 2/27 (point A) which was followed by a gain of $2 on 2/28/07 which was the entry day (point B).  Meanwhile on 3/2/07 the 5 Day Stochastic once again closed below 10 (point C) with the entry date on 3/5/07 (point D) was followed by a gain of over $3 the next few days (points D to E).  Furthermore the 5 Day Stochastic closed below 10 on 3/5/07 as well (point F) with the entry date on on 3/6/07 (point G) which was then followed by a $2 gain over the next few days (points G to E).   

The table below shows the backtested results going back to 1987 which includes 236 signals during the last 21 years and compares the results using a 5 Day Holding Period versus a 10 Day Holding Period.  As you can see the odds of having a positive return of $1 or more in the SPY's improves if you hold the position for 10 Days versus 5 Days.

5 Day Holding Period (SPY) 1987-2007
	5 Day Gain	5 Day Gain	5 Day Gain
	$1 or More	$2 or More	$3 or More
Probability	84%	58%	34%

10 Day Holding Period (SPY) 1987-2007
	10 Day Gain	10 Day Gain	10 Day Gain
	$1 or More	$2 or More	$3 or More
Probability	92%	77%	59%

The table below shows all of the Buy Signals going back to 1987.  Keep in mind the SPY's began in 1993 so I had to use the S&P 500 values before 1993 and divided by 10 to get a simulated SPY price.  Also the SPY's were adjusted prior to 1998 to account for the much lower prices in those days as well.  For example in 1993 the SPY's traded in the $40's versus today's prices which are in the mid 100's.  Thus a 50 cent gain in 1993 is more like a $1.50 gain based on today's levels in the SPY's.

End of Month Buy Signals for the SPY's from 1987-2007 

				Max	Max		Adjusted	Adjusted
Signal	Open Price	5 Day	10 Day	5 Day	10 Day		5 Day	10 Day
Date	Next Day	High	High	Gain	Gain		Gain	Gain
6/26/2007	148.24	152.50	153.36	4.26	5.12		4.26	5.12
6/6/2007	151.56	152.07	153.66	0.51	2.10		0.51	2.10
3/5/2007	138.78	141.42	141.42	2.64	2.64		2.64	2.64
3/2/2007	137.93	141.42	141.42	3.49	3.49		3.49	3.49
2/27/2007	140.39	141.98	141.98	1.59	1.59		1.59	1.59
1/5/2007	140.82	143.24	143.46	2.42	2.64		2.42	2.64
12/22/2006	140.81	142.70	142.70	1.89	1.89		1.89	1.89
11/27/2006	138.24	141.55	142.30	3.31	4.06		3.31	4.06
11/1/2006	136.51	139.05	140.45	2.54	3.94		2.54	3.94
9/6/2006	130.06	132.45	132.77	2.39	2.71		2.39	2.71
6/27/2006	124.24	128.01	128.01	3.77	3.77		3.77	3.77
5/23/2006	125.68	128.38	129.43	2.70	3.75		2.70	3.75
2/28/2006	128.60	130.07	130.07	1.47	1.47		1.47	1.47
2/3/2006	126.44	127.60	129.40	1.16	2.96		1.16	2.96
2/2/2006	126.61	127.60	129.21	0.99	2.60		0.99	2.60
12/30/2005	125.10	129.06	129.44	3.96	4.34		3.96	4.34
12/29/2005	125.00	128.58	129.44	3.58	4.44		3.58	4.44
12/27/2005	125.74	127.49	129.06	1.75	3.32		1.75	3.32
11/30/2005	126.02	127.74	128.09	1.72	2.07		1.72	2.07
10/5/2005	119.78	120.26	120.26	0.48	0.48		0.48	0.48
10/4/2005	121.29	121.31	121.31	0.02	0.02		0.02	0.02
8/26/2005	120.41	123.15	124.74	2.74	4.33		2.74	4.33
8/24/2005	121.35	122.66	124.13	1.31	2.78		1.31	2.78
8/5/2005	123.17	124.50	124.50	1.33	1.33		1.33	1.33
6/24/2005	118.97	120.40	122.10	1.43	3.13		1.43	3.13
6/23/2005	119.88	120.40	120.65	0.52	0.77		0.52	0.77
4/28/2005	115.07	118.00	118.08	2.93	3.01		2.93	3.01
3/29/2005	116.78	118.99	119.26	2.21	2.48		2.21	2.48
3/23/2005	117.46	118.46	119.26	1.00	1.80		1.00	1.80
2/22/2005	118.97	121.52	123.25	2.55	4.28		2.55	4.28
1/24/2005	116.91	118.25	120.52	1.34	3.61		1.34	3.61
1/5/2005	118.44	119.46	119.62	1.02	1.18		1.02	1.18
10/22/2004	109.40	113.29	117.29	3.89	7.89		3.89	7.89
9/27/2004	110.56	114.09	114.33	3.53	3.77		3.53	3.77
9/23/2004	110.82	111.63	114.33	0.81	3.51		0.81	3.51
9/22/2004	111.25	111.50	114.33	0.25	3.08		0.25	3.08
8/5/2004	107.28	108.06	109.82	0.78	2.54		0.78	2.54
7/23/2004	108.84	110.55	111.01	1.71	2.17		1.71	2.17
7/6/2004	111.46	112.22	112.22	0.76	0.76		0.76	0.76
4/30/2004	111.02	112.91	112.91	1.89	1.89		1.89	1.89
11/20/2003	103.89	106.31	107.42	2.42	3.53		2.42	3.53
9/26/2003	99.95	103.93	104.87	3.98	4.92		3.98	4.92
9/25/2003	100.09	102.21	104.87	2.12	4.78		2.12	4.78
9/24/2003	101.06	101.83	104.04	0.77	2.98		0.77	2.98
8/22/2003	99.36	101.13	103.53	1.77	4.17		1.77	4.17
8/5/2003	96.34	99.24	100.59	2.90	4.25		2.90	4.25
8/1/2003	97.96	98.65	99.50	0.69	1.54		0.69	1.54
6/30/2003	96.90	100.94	101.55	4.04	4.65		4.04	4.65
6/27/2003	97.87	100.55	101.55	2.68	3.68		2.68	3.68
6/25/2003	97.42	99.44	101.05	2.02	3.63		2.02	3.63
3/31/2003	84.90	90.50	90.50	5.60	5.60		5.60	5.60
3/4/2003	82.26	83.19	87.00	0.93	4.74		0.93	4.74
1/30/2003	83.80	86.46	86.46	2.66	2.66		2.66	2.66
1/24/2003	85.38	86.83	86.83	1.45	1.45		1.45	1.45
12/27/2002	87.44	93.14	93.29	5.70	5.85		5.70	5.85
12/5/2002	89.77	91.82	91.82	2.05	2.05		2.05	2.05
9/24/2002	83.02	85.62	85.62	2.60	2.60		2.60	2.60
9/3/2002	88.26	91.43	92.98	3.17	4.72		3.17	4.72
8/28/2002	90.92	93.04	93.04	2.12	2.12		2.12	2.12
8/5/2002	84.88	91.59	95.40	6.71	10.52		6.71	10.52
7/2/2002	94.27	99.35	99.35	5.08	5.08		5.08	5.08
6/25/2002	94.85	100.15	100.15	5.30	5.30		5.30	5.30
6/21/2002	98.26	100.54	100.54	2.28	2.28		2.28	2.28
6/6/2002	101.43	104.19	104.68	2.76	3.25		2.76	3.25
6/3/2002	103.80	105.25	105.25	1.45	1.45		1.45	1.45
5/29/2002	106.20	108.21	108.21	2.01	2.01		2.01	2.01
5/6/2002	105.75	109.01	110.90	3.26	5.15		3.26	5.15
4/29/2002	106.67	109.56	109.56	2.89	2.89		2.89	2.89
4/26/2002	107.58	109.56	109.56	1.98	1.98		1.98	1.98
4/24/2002	108.86	109.66	109.66	0.80	0.80		0.80	0.80
4/23/2002	110.21	111.46	111.46	1.25	1.25		1.25	1.25
3/25/2002	113.17	115.42	115.42	2.25	2.25		2.25	2.25
2/21/2002	108.00	112.51	116.80	4.51	8.80		4.51	8.80
1/29/2002	110.04	113.04	113.04	3.00	3.00		3.00	3.00
12/31/2001	114.76	117.64	117.64	2.88	2.88		2.88	2.88
12/3/2001	113.56	117.65	117.65	4.09	4.09		4.09	4.09
11/28/2001	113.31	117.65	117.65	4.34	4.34		4.34	4.34
10/31/2001	106.25	112.77	115.05	6.52	8.80		6.52	8.80
10/30/2001	106.55	112.13	114.20	5.58	7.65		5.58	7.65
9/7/2001	107.35	110.72	110.72	3.37	3.37		3.37	3.37
9/6/2001	109.67	110.90	110.90	1.23	1.23		1.23	1.23
8/29/2001	114.50	116.44	116.44	1.94	1.94		1.94	1.94
8/6/2001	119.82	121.18	121.18	1.36	1.36		1.36	1.36
7/6/2001	119.14	121.12	122.63	1.98	3.49		1.98	3.49
7/5/2001	120.96	121.23	122.63	0.27	1.67		0.27	1.67
5/30/2001	125.08	128.88	128.88	3.80	3.80		3.80	3.80
5/29/2001	126.24	128.88	128.88	2.64	2.64		2.64	2.64
5/25/2001	127.87	128.88	128.88	1.01	1.01		1.01	1.01
4/3/2001	110.22	117.40	125.65	7.18	15.43		7.18	15.43
2/21/2001	126.00	127.49	127.49	1.49	1.49		1.49	1.49
2/2/2001	134.45	136.35	136.35	1.90	1.90		1.90	1.90
11/22/2000	133.27	136.34	137.99	3.07	4.72		3.07	4.72
10/25/2000	136.77	143.34	143.93	6.57	7.16		6.57	7.16
9/6/2000	149.90	150.73	150.73	0.83	0.83		0.83	0.83
8/30/2000	150.71	153.21	153.21	2.50	2.50		2.50	2.50
7/28/2000	142.59	146.27	148.87	3.68	6.28		3.68	6.28
7/26/2000	145.59	146.27	148.87	0.68	3.28		0.68	3.28
7/24/2000	147.40	147.49	147.49	0.09	0.09		0.09	0.09
6/23/2000	145.02	146.63	147.09	1.61	2.07		1.61	2.07
2/25/2000	133.02	141.37	141.37	8.35	8.35		8.35	8.35
2/24/2000	134.84	138.77	141.37	3.93	6.53		3.93	6.53
1/28/2000	135.46	143.65	144.21	8.19	8.75		8.19	8.75
1/6/2000	139.96	146.56	147.24	6.60	7.28		6.60	7.28
1/4/2000	139.59	146.56	147.24	6.97	7.65		6.97	7.65
11/30/1999	138.96	144.99	144.99	6.03	6.03		6.03	6.03
8/30/1999	132.59	135.93	136.27	3.34	3.68		3.34	3.68
8/27/1999	134.99	135.93	136.27	0.94	1.28		0.94	1.28
8/4/1999	130.52	131.65	134.40	1.13	3.88		1.13	3.88
7/30/1999	132.40	133.52	133.52	1.12	1.12		1.12	1.12
7/26/1999	135.65	136.96	136.96	1.31	1.31		1.31	1.31
7/23/1999	134.52	136.96	136.96	2.44	2.44		2.44	2.44
5/27/1999	128.65	132.84	133.84	4.19	5.19		4.19	5.19
5/25/1999	128.96	130.65	133.84	1.69	4.88		1.69	4.88
3/2/1999	122.74	129.59	131.31	6.85	8.57		6.85	8.57
12/3/1998	116.28	119.40	119.40	3.12	3.12		3.12	3.12
11/30/1998	115.78	119.18	119.40	3.40	3.62		3.40	3.62
10/1/1998	98.53	100.93	106.90	2.40	8.37		2.40	8.37
9/30/1998	99.68	101.18	101.18	1.50	1.50		1.50	1.50
8/31/1998	95.71	102.65	104.09	6.94	8.38		6.94	8.38
8/27/1998	104.62	105.37	105.37	0.75	0.75		0.75	0.75
8/4/1998	107.59	110.24	110.24	2.65	2.65		2.65	2.65
8/3/1998	111.87	111.87	111.87	0.00	0.00		0.00	0.00
6/3/1998	107.90	112.12	112.12	4.22	4.22		4.22	4.22
5/26/1998	109.18	110.46	112.12	1.28	2.94		1.28	2.94
5/6/1998	110.15	112.21	112.34	2.06	2.19		2.06	2.19
10/27/1997	84.78	94.03	94.93	9.25	10.15		16.37	17.96
10/24/1997	92.67	93.59	94.93	0.92	2.26		1.49	3.66
9/25/1997	94.09	95.84	98.15	1.75	4.06		2.79	6.47
9/24/1997	93.90	95.46	98.15	1.56	4.25		2.49	6.79
8/28/1997	89.78	94.09	94.09	4.31	4.31		7.20	7.20
8/26/1997	90.65	93.65	94.09	3.00	3.44		4.96	5.69
6/23/1997	87.90	89.90	92.15	2.00	4.25		3.41	7.25
4/2/1997	74.09	76.70	76.70	2.61	2.61		5.28	5.28
3/31/1997	74.90	76.28	76.70	1.38	1.80		2.76	3.60
2/28/1997	78.40	80.81	81.45	2.41	3.05		4.61	5.84
2/27/1997	78.90	80.56	81.45	1.66	2.55		3.16	4.85
1/27/1997	77.28	79.06	79.12	1.78	1.84		3.45	3.57
1/24/1997	76.53	79.06	79.12	2.53	2.59		4.96	5.08
12/31/1996	74.03	75.43	77.04	1.40	3.01		2.84	6.10
12/3/1996	74.53	75.32	75.32	0.79	0.79		1.59	1.59
10/28/1996	69.71	70.81	73.17	1.10	3.46		2.37	7.45
10/25/1996	70.03	70.81	73.09	0.78	3.06		1.67	6.55
10/24/1996	69.88	70.53	72.95	0.65	3.07		1.40	6.59
8/26/1996	66.37	66.65	66.65	0.28	0.28		0.63	0.63
7/5/1996	65.28	65.50	65.50	0.22	0.22		0.51	0.51
5/31/1996	66.53	68.15	68.15	1.62	1.62		3.65	3.65
3/27/1996	64.15	65.26	65.38	1.11	1.23		2.60	2.88
2/29/1996	64.28	65.63	65.63	1.35	1.35		3.15	3.15
2/28/1996	63.78	65.53	65.63	1.75	1.85		4.12	4.35
10/25/1995	58.03	58.50	59.03	0.47	1.00		1.21	2.58
6/27/1995	53.90	54.72	55.96	0.82	2.06		2.28	5.73
6/26/1995	54.00	54.40	55.60	0.40	1.60		1.11	4.44
12/30/1994	45.44	45.90	46.68	0.46	1.24		1.52	4.09
12/1/1994	45.21	45.47	45.68	0.26	0.47		0.86	1.56
11/22/1994	44.68	45.60	45.60	0.92	0.92		3.09	3.09
11/4/1994	46.09	46.98	46.98	0.89	0.89		2.90	2.90
10/24/1994	45.65	47.36	47.36	1.71	1.71		5.62	5.62
10/4/1994	44.93	46.40	46.98	1.47	2.05		4.91	6.84
6/24/1994	44.08	44.67	44.68	0.59	0.60		2.01	2.04
6/23/1994	43.71	44.67	44.67	0.96	0.96		3.29	3.29
3/30/1994	44.13	44.78	44.78	0.65	0.65		2.21	2.21
3/29/1994	44.78	44.90	44.90	0.12	0.12		0.40	0.40
3/25/1994	45.65	45.72	45.72	0.07	0.07		0.23	0.23
2/24/1994	46.32	46.71	46.71	0.39	0.39		1.26	1.26
2/4/1994	46.50	47.09	47.34	0.59	0.84		1.90	2.71
1/3/1994	46.19	47.25	47.25	1.06	1.06		3.44	3.44
12/31/1993	46.25	46.71	47.25	0.46	1.00		1.49	3.24
11/4/1993	45.38	46.28	46.47	0.90	1.09		2.97	3.60
10/22/1993	46.06	46.62	46.65	0.56	0.59		1.82	1.92
9/7/1993	45.57	46.21	46.21	0.64	0.64		2.11	2.11
7/6/1993	43.85	44.74	44.84	0.89	0.99		3.04	3.39
4/26/1993	43.00	43.97	44.40	0.97	1.40		3.38	4.88
4/23/1993	43.44	43.94	44.40	0.50	0.96		1.73	3.31
4/6/1993	43.90	44.71	44.81	0.81	0.91		2.77	3.11
10/6/1992	40.42	41.15	41.7	0.73	1.28		2.71	4.75
10/5/1992	40.72	40.86	41.49	0.14	0.77		0.52	2.84
10/2/1992	40.76	41.05	41.17	0.29	0.41		1.07	1.51
8/24/1992	41.16	41.58	42.03	0.42	0.87		1.53	3.17
8/6/1992	41.88	42.34	42.34	0.46	0.46		1.65	1.65
4/2/1992	40.15	40.59	41.63	0.44	1.48		1.64	5.53
3/30/1992	40.37	40.59	40.61	0.22	0.24		0.82	0.89
3/27/1992	40.3	40.59	40.59	0.29	0.29		1.08	1.08
3/5/1992	40.44	40.92	41.08	0.48	0.64		1.78	2.37
3/4/1992	40.65	40.93	41.08	0.28	0.43		1.03	1.59
1/29/1992	41.16	41.62	41.81	0.46	0.65		1.68	2.37
11/5/1991	39	39.74	39.82	0.74	0.82		2.85	3.15
10/25/1991	38.95	39.51	39.64	0.56	0.69		2.16	2.66
10/24/1991	38.42	39.31	39.51	0.89	1.09		3.47	4.26
10/4/1991	37.95	38.15	39.38	0.20	1.43		0.79	5.65
9/6/1991	38.85	38.93	38.94	0.08	0.09		0.31	0.35
9/5/1991	38.91	39.07	39.07	0.16	0.16		0.62	0.62
9/4/1991	38.91	39.09	39.09	0.18	0.18		0.69	0.69
7/24/1991	38.09	38.78	39.16	0.69	1.07		2.72	4.21
4/29/1991	37.53	38.21	38.39	0.68	0.86		2.72	3.44
1/7/1991	31.49	32.07	33.22	0.58	1.73		2.76	8.24
1/4/1991	31.54	32.09	33.22	0.55	1.68		2.62	7.99
1/3/1991	32.1	32.23	32.8	0.13	0.70		0.61	3.27
10/29/1990	30.41	31.46	31.97	1.05	1.56		5.18	7.69
10/26/1990	30.18	31.46	31.97	1.28	1.79		6.36	8.90
9/24/1990	30.83	31.49	31.97	0.66	1.14		3.21	5.55
9/21/1990	30.46	31.49	31.97	1.03	1.51		5.07	7.44
8/6/1990	33.48	34.09	34.19	0.61	0.71		2.73	3.18
8/3/1990	33.44	34.48	34.48	1.04	1.04		4.67	4.67
8/2/1990	34.48	35.15	35.15	0.67	0.67		2.91	2.91
7/27/1990	35.55	35.75	35.75	0.20	0.20		0.84	0.84
6/26/1990	35.51	36.07	36.12	0.56	0.61		2.37	2.58
6/25/1990	35.21	35.96	36.07	0.75	0.86		3.20	3.66
4/24/1990	33.2	33.38	34.2	0.18	1.00		0.81	4.52
4/23/1990	33.04	33.38	34.11	0.34	1.07		1.54	4.86
2/23/1990	32.86	33.55	34.06	0.69	1.20		3.15	5.48
2/22/1990	32.41	33.44	34.06	1.03	1.65		4.77	7.64
1/30/1990	32.91	33.22	33.61	0.31	0.70		1.41	3.19
1/29/1990	32.29	33.22	33.61	0.93	1.32		4.32	6.13
1/26/1990	32.52	33.21	33.61	0.69	1.09		3.18	5.03
1/25/1990	32.58	32.99	33.61	0.41	1.03		1.89	4.74
11/6/1989	33.48	34.05	34.22	0.57	0.74		2.55	3.32
10/30/1989	34.03	34.17	34.17	0.14	0.14		0.62	0.62
10/27/1989	33.51	34.17	34.17	0.66	0.66		2.95	2.95
10/26/1989	33.5	34.17	34.17	0.67	0.67		3.00	3.00
6/30/1989	31.92	32.71	33.3	0.79	1.38		3.71	6.48
6/29/1989	31.79	32.59	33.19	0.80	1.40		3.77	6.61
11/4/1988	27.39	27.63	27.63	0.24	0.24		1.31	1.31
10/27/1988	27.85	28.04	28.04	0.19	0.19		1.02	1.02
7/22/1988	26.47	27.2	27.42	0.73	0.95		4.14	5.38
3/28/1988	26	26.16	27.21	0.16	1.21		0.92	6.98
3/25/1988	25.8	26.16	27.04	0.36	1.24		2.09	7.21
3/24/1988	25.85	26.34	27.02	0.49	1.17		2.84	6.79
12/4/1987	22.87	24.01	24.92	1.14	2.05		7.48	13.45
11/30/1987	23.2	23.45	24.23	0.25	1.03		1.62	6.66
10/6/1987	31.85	31.94	31.94	0.09	0.09		0.42	0.42
9/4/1987	31.36	32.38	32.38	1.02	1.02		4.88	4.88
9/3/1987	31.67	32.38	32.38	0.71	0.71		3.36	3.36
8/28/1987	32.98	33.22	33.22	0.24	0.24		1.09	1.09
7/1/1987	30.56	30.96	31.28	0.40	0.72		1.96	3.53
3/30/1987	29.17	30.36	30.36	1.19	1.19		6.12	6.12
12/31/1986	24.64	25.92	26.72	1.28	2.08		7.79	12.66

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