One famous seasonality in the oil market is the tendency for the oil price to rise on Fridays. Let’s the Friday seasonality in the oil price. We buy the day before – Thursday.
It seems like just buying on any Thursday’s close is not such a good idea. It works better if Thursday is a down day.
I get the following result if buying on the close of a Thursday if USO falls at least 0.75 times the 25 day average of the H-L (high minus low) and exit on Friday’s close:
| P/L in % | #fills | #wins | Avg. |
| 56.96 | 98 | 60 | 0.58 |
Data is from inception in April 2006 until the present.
Here is the equity chart:
All other days seem to be more of a random pattern.
