Daily Effects In Long-Term Treasuries

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.

Late week and early week show stable return in long-term treasuries.

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.