I agree with you that 'During' works well. 'In' also sounds natural to use. 'At' makes me feel that we are referring to a kind of festival called 'Ramadan'. I don't think 'on' is appropriate here.
Thank you, Ahmed, for clarifying for me what Ramadan is. I had pretended that Ramadan was like Christmas, which, as you probably know, is a single-day holiday. But Ramadan is clearly not like Christmas. I defer to your answer.
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