ES Journal - 2012

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While you Americans are sleeping and dreaming of big bucks, I did a little study on daily returns and the returns of each day of the week in isolation.

I know that this does not encapsulate the T-day theory entirely, but I was in particular interested in seeing if days starting on a T had more positive returns than the other days of the week.

I used daily closing prices from SPX, starting from 2008 to last Friday on the 2nd of March 2012.

The complete sample:

Number of days: 1051
Average daily return: 0,01 %
Median daily return: 0,09 %
Number of up days: 577
Number of down days: 474
Average return up days: 1,07 %
Average return down days: -1,29 %

Monday

Number of Mondays: 195
Average daily return: -0,03 %
Median daily return: 0,01 %
Number of up days: 102
Number of down days: 93
Average return up days: 1,20 %
Average return down days: -1,39 %

Tuesday

Number of Tuesdays: 217
Average daily return: 0,16 %
Median daily return: 0,05 %
Number of up days: 116
Number of down days: 101
Average return up days: 1,29 %
Average return down days: -1,14 %

Wednesday

Number of Wednesdays: 218
Average daily return: -0,08 %
Median daily return: 0,04 %
Number of up days: 116
Number of down days: 102
Average return up days: 0,98 %
Average return down days: -1,27 %

Thursday

Number of Thursdays: 212
Average daily return: 0,04 %
Median daily return: 0,25 %
Number of up days: 128
Number of down days: 84
Average return up days: 1,09 %
Average return down days: -1,55 %

Friday

Number of Fridays: 209
Average daily return: -0,05 %
Median daily return: 0,09 %
Number of up days: 115
Number of down days: 94
Average return up days: 0,84 %
Average return down days: -1,13 %

Looking at average returns only, Tuesday and Thursday is positive, while the rest of the days are negative.

Looking at median returns, Thursday stands out from the rest.

60% of Thursdays are up days, with 52-55% of the other days of the week being up days as well.

Really just trying to get my feet wet and trying to learn more about statistics, so take this with a grain of salt. I`m really just a newbie.

I would be interested in trying to test the actual T-day theory, but I still do not know exactly what it states.

Regards,

Laissez Faire
 
Quote from Laissez Faire:

While you Americans are sleeping and dreaming of big bucks, I did a little study on daily returns and the returns of each day of the week in isolation.

I know that this does not encapsulate the T-day theory entirely, but I was in particular interested in seeing if days starting on a T had more positive returns than the other days of the week.

I used daily closing prices from SPX, starting from 2008 to last Friday on the 2nd of March 2012.

The complete sample:

Number of days: 1051
Average daily return: 0,01 %
Median daily return: 0,09 %
Number of up days: 577
Number of down days: 474
Average return up days: 1,07 %
Average return down days: -1,29 %

Monday

Number of Mondays: 195
Average daily return: -0,03 %
Median daily return: 0,01 %
Number of up days: 102
Number of down days: 93
Average return up days: 1,20 %
Average return down days: -1,39 %

Tuesday

Number of Tuesdays: 217
Average daily return: 0,16 %
Median daily return: 0,05 %
Number of up days: 116
Number of down days: 101
Average return up days: 1,29 %
Average return down days: -1,14 %

Wednesday

Number of Wednesdays: 218
Average daily return: -0,08 %
Median daily return: 0,04 %
Number of up days: 116
Number of down days: 102
Average return up days: 0,98 %
Average return down days: -1,27 %

Thursday

Number of Thursdays: 212
Average daily return: 0,04 %
Median daily return: 0,25 %
Number of up days: 128
Number of down days: 84
Average return up days: 1,09 %
Average return down days: -1,55 %

Friday

Number of Fridays: 209
Average daily return: -0,05 %
Median daily return: 0,09 %
Number of up days: 115
Number of down days: 94
Average return up days: 0,84 %
Average return down days: -1,13 %

Looking at average returns only, Tuesday and Thursday is positive, while the rest of the days are negative.

Looking at median returns, Thursday stands out from the rest.

60% of Thursdays are up days, with 52-55% of the other days of the week being up days as well.

Really just trying to get my feet wet and trying to learn more about statistics, so take this with a grain of salt. I`m really just a newbie.

I would be interested in trying to test the actual T-day theory, but I still do not know exactly what it states.

Regards,

Laissez Faire
More...

I'm trying to recall who here had the theory - might be Volente or Pekelo. You might want to reach out to one or both of them to get the official rules.

Anyway, good job and thanks for sharing your work.
 
Quote from Laissez Faire:

While you Americans are sleeping and dreaming of big bucks, I did a little study on daily returns and the returns of each day of the week in isolation.

I know that this does not encapsulate the T-day theory entirely, but I was in particular interested in seeing if days starting on a T had more positive returns than the other days of the week.

I used daily closing prices from SPX, starting from 2008 to last Friday on the 2nd of March 2012.

The complete sample:

Number of days: 1051
Average daily return: 0,01 %
Median daily return: 0,09 %
Number of up days: 577
Number of down days: 474
Average return up days: 1,07 %
Average return down days: -1,29 %

Monday

Number of Mondays: 195
Average daily return: -0,03 %
Median daily return: 0,01 %
Number of up days: 102
Number of down days: 93
Average return up days: 1,20 %
Average return down days: -1,39 %

Tuesday

Number of Tuesdays: 217
Average daily return: 0,16 %
Median daily return: 0,05 %
Number of up days: 116
Number of down days: 101
Average return up days: 1,29 %
Average return down days: -1,14 %

Wednesday

Number of Wednesdays: 218
Average daily return: -0,08 %
Median daily return: 0,04 %
Number of up days: 116
Number of down days: 102
Average return up days: 0,98 %
Average return down days: -1,27 %

Thursday

Number of Thursdays: 212
Average daily return: 0,04 %
Median daily return: 0,25 %
Number of up days: 128
Number of down days: 84
Average return up days: 1,09 %
Average return down days: -1,55 %

Friday

Number of Fridays: 209
Average daily return: -0,05 %
Median daily return: 0,09 %
Number of up days: 115
Number of down days: 94
Average return up days: 0,84 %
Average return down days: -1,13 %

Looking at average returns only, Tuesday and Thursday is positive, while the rest of the days are negative.

Looking at median returns, Thursday stands out from the rest.

60% of Thursdays are up days, with 52-55% of the other days of the week being up days as well.

Really just trying to get my feet wet and trying to learn more about statistics, so take this with a grain of salt. I`m really just a newbie.

I would be interested in trying to test the actual T-day theory, but I still do not know exactly what it states.

Regards,

Laissez Faire
More...

Nice, LF.

T-Day is Tuesday and Thursday;beginning with "T".

I saw in a 'Stocks and Commidities' article last year that over approximately 20 years Wednesday and Thurday were profitable +60% of the time.

BTW, when to these T-DAYBOYZ ever sell?

:D
 
back in '08, if i remember right, it seemed like T -days were just really large volume/large range (not necessarily up) days. obviously volatility was pretty crazy back then anyway. but thought that (08-early 09) was when this theory was born.
 
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