Day of Week Seasonality Effect

Day of Week Seasonality Effect

The day of the week seasonality 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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FAQ:

– What does the analysis show regarding the average gain in the S&P 500 since January 2010 until July 1st based on weekdays?

The analysis provides a summary of the average gains for each weekday in the S&P 500 during this period, considering different factors such as close to close, close to open, and open to close percentages.

– What are the main takeaways from this analysis of the day of the week effect in the S&P 500?

The analysis reveals that certain weekdays exhibit stronger average gains compared to others, with early weekdays generally performing better.

– Are these findings specific to the S&P 500, or do they apply to other stock indices as well?

The analysis focuses on the S&P 500, and it’s not clear whether similar day-of-the-week effects apply to other stock indices. Further research may be needed to explore other indices.

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