One of the more peculiar effects on the S&P 500 is the huge difference in performance between odd and even days. It turns out that one type of calendar day is much better than the other. Can we develop a trading strategy based on odd and even days?
This article shows a trading strategy that is only invested on odd calendar days and one other strategy that is only invested on even calendar days. Most likely, this is not a tradeable trading strategy but nevertheless, one type of calendar day shows a strong outperformance compared to the other type of calendar day.
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