Day of Week Seasonality in S&P 500

Previously there has been certain day of week seasonalities in S&P 500. Here is a summary of the average gain since 1. January 2010 until 1st of July based on weekdays:

Close to Close to Open to Close % Close % Open % Open %
close open close to low to high to low to high
Mondays 0.05 0.08 -0.03 0.64 -0.63 0.68 -0.59
Tuesdays 0.14 -0.03 0.18 0.82 -0.59 0.65 -0.76
Wednesdays 0.05 0.04 0.01 0.71 -0.63 0.70 -0.64
Thursdays 0.04 0.06 -0.02 0.83 -0.64 0.85 -0.61
Fridays -0.06 -0.01 -0.05 0.66 -0.65 0.71 -0.59

Explanation:

Close to close: mondays are from close on friday until close on monday

Close to open: mondays are todays open based on close on friday

Open to close: mondays are average gain from open until mondays close

Close % to low: how far close is above todays low

Close % to high: how far close is below todays high

Open % to low: how far open is above todays low

Open % to high: how far open is below todays high

During this period S&P has risen about 24%. And as you can see, the best days seem to be early in the week.

I’m just posting these numbers now so the readers can have a look at it. Later I’ll try to make som profitable strategies based on these numbers.