Daily Effects In Long-Term Treasuries (Profitable Day Of The Week Trading Strategy In TLT)

Daily Effects In Long-Term Treasuries (Profitable Day Of The Week Trading Strategy In TLT)

ByOddmund Groette Seasonal trading strategies

20+ treasury bonds (TLT) show a significantly different performance depending on the day of the week. Is there any day of the week effect in TLT? Let’s test some day of the week strategies.

Profitable Day of the Week Trading Strategy - TLT

Assume we start with an account worth 100 000 and hold for one day and reinvest the profits. Below you find the accumulated profits from 2002 until early 2020:

  • 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 the five-day RSI is below 60.
  • Buy at the close.
  • Sell when the 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 are not included.

The equity curve looks like this:

Obviously, there are probably many other twists you can trade around this.

The weekday effect is stronger in stocks.

daily-effect

———————

If you would like to have the Amibroker and Tradestation code for this strategy plus 70+ other free trading strategies published on this website, please click on this link:

For more trading strategies, please click here:

FAQ:

– Which days of the week show better performance in TLT?

Fridays and Mondays show significantly better performance compared to other weekdays in TLT.

– What is the simple strategy based on the day of the week effect in TLT?

The strategy involves buying on Thursdays when the five-day Relative Strength Index (RSI) is below 60. The sell condition is met when the close is higher than yesterday’s high. This strategy returned 9.7% annually compared to the buy and hold strategy, which returned 7.7%.

– What does the equity curve of the day of the week strategy in TLT look like?

The equity curve of the strategy demonstrates positive performance, indicating that the day of the week strategy in TLT has been consistently profitable.

I’ve got an Msc from Heriot-Watt University, Edinburgh (1996), in addition a to a business administration degree the Norwegian School of Management (BI – 1994). Did my mandatory military service in between.

After university, I worked two years as an auditor (1996-1998).

I co-founded Aksjeforum.com in 1998/99 - one of the first websites about trading and investing in Norway. It was later acquired by Digi.no in 2001.

I have written 4 books about trading (in Norwegian). One of them has sold 30,000 copies, a record for a financial book in Norway.

From 2001 until 2018 full-time independent prop trader (Series 7 in 2001) and investor.

2018-today: Investor, writer, analyst.

Similar Posts