Preferred days in the week for day traders

[rb7]

Well, I wouldn't say taking a jab at someone is the way to proceed if you want to exchange opinions and research, is it now?

Fortunately, I'm not easily offended as so many others on this site who would have you blocked by now. LOL.

I did some very detailed research across weekdays on daily return and ranges and other stuff I look at and while I found some differences across weekdays, I don't think it's something you can exploit on that basis alone. Day trading or trading in general is about accuracy and average results are useless for that.

ES from 2005 to 2023:

View attachment 312985


As for my own approach, I generally keep that close to the chest, although I've shared a few bits and pieces here and there including what I posted in this thread. In summary, I think day of week matters, but not as a simple answer that's directly applicable which is what the OP is looking for. I'm still learning and I certainly don't have all the answers.

This is now a High Low week. If the statistics I posted earlier come true this week as well, we should be expecting more downside come tomorrow or Friday. It's just a roadmap to help guide me through the week. Some of the weekly biases are already exploited by now, so it's hard to tell. But it warrants caution against the long side for sure.

Are you stats use the previous close or current open to calculate the ranges?

 

[M.W.]

Interesting, have you ever bothered to investigate why that is the case or you just take it as a given and trade around such observations?

You are right. We are not talking about the same thing at all.

I don't really care about the basic return profile of weekdays which is too academic for my needs.

As I previously mentioned, my results are based on the strategy/model I'm using. And a different one would give different results.

My strategy/model is based on specific market conditions and those conditions are not present on specific weekday.

 

[M.W.]

I hold it like you when it comes to diverging opinions and I apologize if I came across as abrasive my word choice was probably out of place.

The statistics you showed are probably in agreement with what I talked about, especially when you adjust for the natural upward drift of equities (though it affects each weekday equally and can be left in). That would only make Mondays look divergent according to the numbers you posted. If I get a few minutes later then I will also run some numbers and post here. Thanks for sharing.

Well, I wouldn't say taking a jab at someone is the way to proceed if you want to exchange opinions and research, is it now?

Fortunately, I'm not easily offended as so many others on this site who would have you blocked by now. LOL.

I did some very detailed research across weekdays on daily return and ranges and other stuff I look at and while I found some differences across weekdays, I don't think it's something you can exploit on that basis alone. Day trading or trading in general is about accuracy and average results are useless for that.

ES from 2005 to 2023:

View attachment 312985


As for my own approach, I generally keep that close to the chest, although I've shared a few bits and pieces here and there including what I posted in this thread. In summary, I think day of week matters, but not as a simple answer that's directly applicable which is what the OP is looking for. I'm still learning and I certainly don't have all the answers.

This is now a High Low week. If the statistics I posted earlier come true this week as well, we should be expecting more downside come tomorrow or Friday. It's just a roadmap to help guide me through the week. Some of the weekly biases are already exploited by now, so it's hard to tell. But it warrants caution against the long side for sure.

 

[Laissez Faire]

Are you stats use the previous close or current open to calculate the ranges?

I have a ton of stuff, but for regular ranges, I just look at the high - low for the RTH session. Not the true range (which I think measures from the prior close). I used to track that one, but discarded it for no particular reason.

 

[M.W.]

I was just about to ask because I don't remember my numbers looked like this for Mondays. I always use intraday open to close log returns.

Are you stats use the previous close or current open to calculate the ranges?

 

[rb7]

Interesting, have you ever bothered to investigate why that is the case or you just take it as a given and trade around such observations?

My strategy/model/algo is suited more for trendy days than choppy days where the open-close trading range is narrower.
Tuesdays are more the latter.

 

[M.W.]

This makes much more sense now, thanks for sharing.

I believe the reason for this relates to the dates on which economic news updates are disseminated which happens to be primarily on Thursdays and Fridays. The market trades accordingly. Lots of times, statistically speaking, markets trade more mean reverting before important economic updates, factoring in volatility and lack of information prior to those releases whereas overall trends function as "magnet" post release especially when those releases are in line with the overall trend. But then some releases cause trend reversals all hinting at the fact that strategies won't work purely based on a weekday analysis of returns.

My strategy/model/algo is suited more for trendy days than choppy days where the open-close trading range is narrower.
Tuesdays are more the latter.

 

[Laissez Faire]

My strategy/model/algo is suited more for trendy days than choppy days where the open-close trading range is narrower.
Tuesdays are more the latter.

Choppy days are a nightmare. Sadly, they're kind of typical on ES, but due to the high volatility these last two years even the range bound days have been fairly decent.

Last few weeks have not been as juicy, though.

Curious. Do you find that the market have changed characteristics in any way since you first started trading ES?

I'm not sure if it's always been like this and maybe I just didn't observe it correctly as a newbie, but it seems to me there are more false breakouts in present date compared to say 10 or 15 years ago. Especially to the downside. There always seems to be a bid in this market (except yesterday) which is why I generally find it hard to hold short unless I have a strong bias like I had for this morning.

 

[M.W.]

Absolutely yes, this has changed a lot and clearly is a function of increasing takeover of ever more complex and "smarter" algorithms that arbitrage away short term dislocations. But there is another phenomenon, the Fed put that is at play.

Choppy days are a nightmare. Sadly, they're kind of typical on ES, but due to the high volatility these last two years even the range bound days have been fairly decent.

Last few weeks have not been as juicy, though.

Curious. Do you find that the market have changed characteristics in any way since you first started trading ES?

I'm not sure if it's always been like this and maybe I just didn't observe it correctly as a newbie, but it seems to me there are more false breakouts in present date compared to say 10 or 15 years ago. Especially to the downside. There always seems to be a bid in this market (except yesterday) which is why I generally find it hard to hold short unless I have a strong bias like I had for this morning.

 

[Laissez Faire]

Just took a quick look on trend days up/down. Only requirement is that they each open at top of the range and close at bottom of the range with no major retracement along the way.

Nothing exciting here. Thursday stands out slightly to the up side and Wednesday slightly to the downside.

Interesting how relatively few one way trend days there are over 4398 trading days.