Bivar Capital — Quantitative Research
Signal Day SensitivityWhich day of the month produces the best results?
Backtest of Bivar USA Momentum across all 30 calendar days of the month. Each day is tested as the signal day, with execution on the next trading day. 1998–2026, no sector cap, GLD during bear months, top 7 stocks.
Summary
Day 27
Best Sharpe (0.94)
Day 27
Best CAGR (+27.1%)
Day 15
Worst Sharpe (0.75)
0.87
Average Sharpe (all days)
Finding: The first half of the month (days 1–13) consistently outperforms the second half (days 14–30).
Average Sharpe for days 1–13: 0.89 vs
days 14–30: 0.86.
This is likely driven by institutional rebalancing flows at the start of each month.
Day 27 is the single best day, but the strategy is robust across most days 1–13.
Sharpe Ratio by Signal Day
CAGR by Signal Day
Results — All 30 Calendar Days
| Day | CAGR | Alpha | Sharpe | Sortino | MaxDD | Vol | Win | Months | $10k → |
|---|---|---|---|---|---|---|---|---|---|
| 1 | +27.9% | +20.6% | 0.87 | 5.62 | -34.0% | 29.6% | 61% | 340 | $10,557,998 |
| 2 | +29.6% | +22.3% | 0.91 | 5.72 | -40.3% | 30.2% | 60% | 340 | $15,550,653 |
| 3 | +28.7% | +21.3% | 0.91 | 5.56 | -37.7% | 29.0% | 61% | 340 | $12,789,299 |
| 4 | +28.3% | +20.9% | 0.92 | 5.59 | -35.0% | 28.2% | 60% | 340 | $11,688,338 |
| 5 | +27.2% | +19.8% | 0.87 | 4.96 | -37.0% | 29.3% | 62% | 340 | $9,182,440 |
| 6 | +25.3% | +17.8% | 0.82 | 4.60 | -37.4% | 29.0% | 59% | 340 | $5,898,792 |
| 7 | +28.7% | +21.2% | 0.91 | 5.10 | -39.5% | 29.5% | 62% | 340 | $12,796,377 |
| 8 | +30.1% | +22.5% | 0.94 | 5.28 | -31.7% | 29.7% | 62% | 340 | $17,235,659 |
| 9 | +27.9% | +20.3% | 0.88 | 4.75 | -37.3% | 29.7% | 61% | 340 | $10,591,709 |
| 10 | +26.2% | +18.6% | 0.85 | 4.54 | -32.4% | 28.7% | 62% | 340 | $7,223,416 |
| 11 | +26.8% | +19.3% | 0.88 | 4.60 | -32.2% | 28.5% | 63% | 340 | $8,431,018 |
| 12 | +27.6% | +20.1% | 0.90 | 4.73 | -32.6% | 28.5% | 63% | 340 | $10,006,125 |
| 13 | +27.2% | +19.9% | 0.88 | 4.24 | -34.5% | 29.0% | 61% | 339 | $8,964,830 |
| 14 | +24.8% | +17.4% | 0.85 | 4.24 | -39.0% | 27.2% | 62% | 339 | $5,193,403 |
| 15 | +20.4% | +13.1% | 0.75 | 3.61 | -42.2% | 25.5% | 61% | 339 | $1,903,533 |
| 16 | +21.2% | +13.9% | 0.75 | 3.74 | -36.9% | 26.5% | 60% | 339 | $2,292,579 |
| 17 | +22.3% | +15.0% | 0.77 | 3.78 | -37.5% | 27.2% | 60% | 339 | $2,917,849 |
| 18 | +24.0% | +16.7% | 0.83 | 4.19 | -39.7% | 26.9% | 60% | 339 | $4,322,526 |
| 19 | +24.0% | +16.7% | 0.82 | 4.21 | -39.6% | 27.5% | 62% | 339 | $4,362,227 |
| 20 | +28.1% | +20.8% | 0.91 | 4.98 | -33.6% | 28.5% | 63% | 339 | $10,873,340 |
| 21 | +26.4% | +19.0% | 0.88 | 5.02 | -42.8% | 27.8% | 62% | 339 | $7,497,168 |
| 22 | +26.7% | +19.3% | 0.90 | 5.12 | -43.0% | 27.1% | 61% | 339 | $7,945,904 |
| 23 | +25.2% | +17.8% | 0.88 | 4.90 | -39.9% | 26.2% | 59% | 339 | $5,658,226 |
| 24 | +27.8% | +20.5% | 0.92 | 5.36 | -38.6% | 27.7% | 61% | 339 | $10,228,797 |
| 25 | +25.6% | +18.3% | 0.89 | 4.98 | -36.5% | 26.2% | 62% | 339 | $6,274,115 |
| 26 | +24.8% | +17.5% | 0.90 | 5.00 | -37.3% | 24.6% | 62% | 339 | $5,214,927 |
| 27 | +27.1% | +19.8% | 0.94 | 6.18 | -29.6% | 26.1% | 60% | 339 | $8,776,946 |
| 28 | +25.4% | +18.1% | 0.91 | 5.86 | -29.8% | 25.2% | 59% | 339 | $5,944,236 |
| 29 | +25.6% | +18.3% | 0.89 | 5.98 | -32.7% | 26.1% | 58% | 339 | $6,253,067 |
| 30 | +25.0% | +17.7% | 0.87 | 6.16 | -32.8% | 26.1% | 58% | 339 | $5,424,295 |
| AVG | +26.2% | +18.8% | 0.87 | 4.95 | -36.4% | 27.7% | 61% | 339 | $8,066,660 |
best Sharpe worst Sharpe average
Monthly Returns — Day 27 (Best Signal Day)
All 339 monthly returns for the Day 27 signal. Shaded bands show 1σ and 2σ ranges around the mean.
+2.3%
Mean Monthly Return
7.5%
Monthly Std Dev
60%
Positive Months
19
Months Beyond 2σ
Methodology
- For each calendar day N (1 through 30), the signal date is the first trading day on or after day N of each month. If day N falls on a weekend or holiday, the next trading day is used. If day N exceeds the month’s length (e.g. day 30 in February), the last trading day of the month is used.
- The execution date (buy/sell) is the next trading day after the signal date.
- On the signal date: check S&P 500 vs MA250. If below → buy GLD (gold futures GC=F scaled before Nov 2004). If above → rank stocks by composite momentum (50% × 126-day return + 50% × 252-day return), filter by mcap >$10B and EBIT >0, select top 7, equal weight.
- No sector cap. GLD during bear months. US domestic common stock only.
- Period: January 1998 – April 2026. Data: Sharadar daily prices + fundamentals + Yahoo Finance (GLD/GC=F).
- Sharpe ratio uses risk-free rate of 3% annualised.
Note on robustness: The strategy is profitable on every single day of the month,
with CAGR ranging from +20.4% to +27.1%
and Sharpe from 0.75 to 0.94.
The momentum premium is real and not dependent on a specific signal day.
The choice of signal day affects magnitude but not direction.