20+ treasury bonds show a significant different performance depending on the day of week.
Assume we start with an account worth 100 000 and hold for one day:
- Mondays (from close Friday to close Monday): 58 072
- Tuesdays: 19 077
- Wednesdays: -16 986
- Thursdays: 944
- Fridays: 137 862
Clearly, Fridays and Mondays are much better than the rest. Let’s make a simple strategy based on this:
- Today is Thursday and five day RSI is below 60.
- Buy on close.
- Sell when close is higher than yesterday’s high.
This strategy returned 9.7% annually (0.35% per trade) while buy and hold returned 7.7%. Taxes and transaction costs not included.
Obviously, there are probably many other twists you can trade around this.
Disclosure: I am not a financial advisor. Please do your own due diligence and investment research or consult a financial professional. All articles are my opinion – they are not suggestions to buy or sell any securities.