Some Facts About The First Trading Day Of The Month

Today is 1st of November and the start of a new month. I’m just trying to grab some stats on how the first trading day of the month has been from January 2005 until July 2012.

Average opening from yesterday’s close: +0.066%

Average gain from yesterday’s close until today’s close (if today is the first trading day): +0.142%

Average gain from the open to the close: +0.073%

Here is the return from open to close if SPY opens up:

P/L % #trades #wins avg
14.91795 55 37 0.271235

Here is the equity curve:

And what if SPY opens down?

P/L % #trades #wins avg
-8.48036 32 13 -0.26501

Here is the equity chart:

As we can see there seems to be few opportunities to fade the gap. To go with the direction of the gap seems to be the best trading tactics on this day.