Day Of Week Seasonality In The S&P 500 (Day Of Week Effect)
Last Updated on June 19, 2022 by Quantified Trading
The day of the week effect in stocks is strong. Some days are simply better than others.
Previously there has been a certain day-of-week seasonality in the S&P 500. Here is a summary of the average gain since 1. January 2010 until the 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 today’s open based on close on Friday
Open to close: Mondays are average gain from open until Monday’s close
Close % to low: how far close is above today’s low
Close % to high: how far close is below today’s high
Open % to low: how far open is above today’s low
Open % to high: how far open is below today’s high
During this period the 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 some profitable strategies based on these numbers.
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[…] Comments Some days back I wrote about daily seasonality in S&P 500. As a proxy I use SPY, an ETF. As I have been trading for some years I have noticed there is often […]