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

Last Updated on August 26, 2021 by Oddmund Groette

20+ treasury bonds (TLT) show a significantly different performance depending on the day of the week.

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.

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Disclosure: We are not financial advisors. Please do your own due diligence and investment research or consult a financial professional. All articles are our opinions – they are not suggestions to buy or sell any securities.