How much can a round trip cost before a calendar rule stops paying?

The same cost lands very differently on two rules

Every return on SeasonalEdge is gross: no spread, fee or tax is taken off, because those belong to the reader's instrument, order size and broker, not to the calendar. That leaves the reader to answer one question for themselves: can the rule carry what it costs to trade?

Two published SPY rules show why the answer depends on the rule. The turn-of-the-month window holds four sessions and trades about twelve times a year: 311 trades in 26 years. The November window holds the whole month and trades once a year: 27 trades in 27 years. A cost is paid per round trip, so the first rule pays it twelve times as often, out of a much smaller average trade.

Two different break-even points

Each rule has two numbers worth knowing, and both come straight from the evaluator's averages.

Where the average trade stops making money. That is the average gross trade itself: 24.1 basis points for the month-end rule, 248 basis points for November. If a round trip costs you more than this, the average trade loses money.

Where the lead over holding is gone. That is the average excess: 9.0 basis points for the month-end rule, 173 basis points for November. Past it, the rule's average trade still makes money, but no more than a position that was simply held, and paid nothing, would have made over the same sessions.

Five illustrative round trips

The table subtracts a flat round-trip cost from each average. The costs are illustrative, chosen to span what different instruments and orders might plausibly cost; they are not any broker's prices and not an estimate of what a reader pays.

Between 5 and 10 basis points a round trip, the month-end rule's average lead over a free hold turns negative, while its average trade still makes money until 24.1 basis points. November's lead is still +1.53 pp a trade at 20 basis points. The difference is not that November is a better calendar idea; it is that one trade a year carries one cost a year.

Holding is not free either

The lead over holding compares the rule with an ordinary hold of the same length. If that hold were placed as a trade of its own, it would pay a round trip too, one per holding period, and in that like-for-like comparison the cost would cancel out of the excess. So subtracting a cost from the excess, as the table does, compares a rule that pays with a hold that does not: the question an investor who already owns SPY and would simply keep it is asking.

Neither framing is the full picture. A complete comparison would put realistic costs on both sides, over the whole period each strategy is exposed, with the same capital. That needs a portfolio simulation with stated assumptions, which this guide does not run. Read the table as a sense of scale, not as a result.

What this arithmetic leaves out

A flat cost per round trip is the simplest possible model. Real costs vary with the instrument, the size of the order, the time of day and the market's state, and opening prices, which every SeasonalEdge trade uses, can carry wider spreads than the middle of the session. Taxes, financing and the cost of capital sitting idle between trades are not included.

The averages themselves are historical and gross. A rule whose average lead is small relative to any plausible cost is fragile on cost alone, before any question of whether the pattern continues. Nothing here is a recommendation to trade either rule.

Before trading a calendar rule

• Find its average gross trade and its average excess over holding, per trade, not per year.
• Count its trades a year: that is how many times a cost is paid.
• Compare your own round-trip cost with both break-even points, with room to spare.
• Decide what you are comparing with: doing nothing, or holding the same instrument through the same period.
• Treat a lead smaller than a few round trips as too thin to survive real trading.

The turn-of-the-month research and the November research show every year behind these averages, and the methodology page explains the holding benchmark.