Research suggests that the euphoria derived from Ramadan could influence investor behavior in Islamic markets. Ramadan is one of the most celebrated religious rituals in the world and consequently, this positively perceived ritual can affect the investor psychology during the time of observance. This strategy applies this research by investing in country ETFs where the proportion of the population professing Muslim faith exceeds 50% during the month. When not invested, the investor is invested in cash. While the strategy on Quantpedia invests in indices of 14 countries, the algorithm below invests in the 8 countries whose indices are available through QuantConnect. The strategy below used a custom data set of Ramadan dates that I consolidated.

While this strategy targets the euphoria of Ramadan, maybe there is alpha in other rituals, both religious and non-religious. The backtest shows that there is a consistent increase in markets during this period. Maybe there are investment opportunities during Diwali in India, Christmas in America, Carnaval in Brazil, etc. If strategies like these can be profitable for the 1 month that they are active, maybe a portfolio can be created to capitalize on different rituals around the world each month. I will be looking into this more.