Day of Week Seasonality in S&P 500
Last Updated on November 22, 2020 by Oddmund Groette
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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