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