Weekday Patterns

[travis]

Years mon tue wed thu fri
2006 -1% 0% 8% 1% -2%
2005 4% -3% 1% -2% 0%
2004 1% 6% 4% -4% -3%
2003 7% 9% -5% 7% 7%
2002 -9% -15% 17% -4% -5%
2001 -3% 4% -4% 11% -13%
2000 20% 5% -18% 4% -15%

This is just the beginning of my 75 years file, which is attached here below.

On the last row I set the formula to an average of years 1988-2006, but it can be changed to an average of 1930 to 2006, or to a SUM of year x to year y.

I got the data for my sums of weekdays' gains from Yahoo Finance, but I couldn't post all the data, because it won't allow the upload here, nor would it work for many of you because I have my excel set on European date format.

 

[science_trader]

Quote from travis:


Regarding giggollo's idea of breaking the 75 years into four periods, I tried all that as well - with Excel is quite simple, as there is an immediate average function on the lower right, on the status bar. No matter what periods you divide the data into, as long as it's large enough (at least 10 years), for years 1930 to 1980, you get just the opposite, with monday being a constant down day. I don't know why it happens, however for my system I will use the findings of the last 18 years.

Any ideas on why this could have happened? It doesn't seem to be related to the overall up or down trend.

The problem when you say that a strategy works well over a period of 10 years is that you will have to wait at least 10 years to see it it worked or not...

 

[IV_Trader]

Quote from travis:

List any weekday patterns that you know of.

I did some study on past daily data of the Dow Jones, and I think we could say that there's been a strong (and constant) tendency in the past 20 years, to go up in the first three days of the week (especially on mondays), and go down, or nowhere on average on the last two days. In other words, if you sum up all gains and losses of the past 20 years, and divide them by week day, you get this:

Monday 105%
Tuesday 58%
Wednesday 39%
Thursday -14%
Friday 7%

In the past 20 years the Dow Jones daily monday to wednesday gains add up to 200%, which is not just 200% because they are "compounded" daily (it goes from 2000 to 11000). Yet on thursday and friday, they add up to -7%. I think it is a pattern. Any comments? You know of any others?

Mondays : 401k money flow
Thursdays : biggest reporting day of the week ( by far)

 

[CFerret]

Does it mean we can buy the dips on Monday and Tuesday, hold it into closing and be profitable in the long run (at least theoretically)?

 

[travis]

Yes, it does. If what's happened in the last 20 years will keep on happening, then you would make money doing what you just said. Yet, it would make more sense to open long on friday at close, and close long on wednesday at close (and viceversa). Just theoretically though, because I haven't tested such a system, nor know anything else about it, like drawdown and such. I was trying to use these data for my own system, but they don't seem strong enough to be used. I don't know, I am still pondering.