Monday bullish and Friday bearish in the stock indexes? Has anyone revisited or backtested this notion lately? Murray Ruggiero "I am talking about in the stock indexes, Monday bullish pattern and Friday is bearish." https://elitetrader.com/et/threads/...futures-and-equities.54765/page-7#post-866443 Murray Ruggiero said: "I ran day of week tendencies on the SP500 from April 1982 to date and from January 2000 to date. Please look at attachment. You will see that long term Wednesday is bullish but it has been bearish over the past five years. 4/22/82 to 9/30/05 Symbol DayOfWeek Total Return Per Up SP_REV.CSV Monday 380.00 54.98% SP_REV.CSV Tuesday -95.50 49.83% SP_REV.CSV Wednesday 197.10 54.08% SP_REV.CSV Thursday 159.55 50.42% SP_REV.CSV Friday -299.26 50.56% 1/1/00 to 9/30/05 Symbol DayOfWeek Total Return Per Up SP_REV.CSV Monday 170.80 53.99% SP_REV.CSV Tuesday -56.30 53.87% SP_REV.CSV Wednesday -57.10 52.28% SP_REV.CSV Thursday 136.20 50.71% SP_REV.CSV Friday -235.50 47.14%
If you only look at daily net change - it's actually Monday's which are slightly negative on average. This is for the last 15 years on ES. The largest day down (16th of March this year) over this time period was also on a Monday. - 11,71 %. 4 of the 10 greatest days down also occurred on a Monday. In fact there was not a single Friday among the 20 largest down days in this time period.
I did some review work on the Dow at the end of last year, including which days of the week in 2019 did we get 1% daily rises or falls in the index. In 2019 there were 24 single day index price rises of 1% or more. 10 were on Fridays, 3 on Mondays, 6 on Tuesdays, 2 on Wednesdays, and 3 on Thursdays. This shows obviously the Friday price rises were almost twice as common as on the next best day and twice the average expected. Looking at the 18 price falls of 1% or more, 6 were on Tuesdays, 3 on Mondays, 3 on Wednesdays, 3 on Thursdays and 3 on Fridays. From the volatility point of view, Fridays again took pole position with 13 out of 42, just ahead of Tuesdays with 12. Mondays had 6, Wednesdays had 5 and Thursdays had 6. Wednesdays seem like a good day to go hiking. OK, its a small sample.
One thing I've been noticing... Markets usually rally going into a public holiday. Then sell off on the first trading day thereafter. Theoretically speaking, this is market manipulation to boost public morale and decrease crime rates. Imagine if the market sold off going into a major public holiday, there will be unrest, increased in crimes, etc.
Manipulation? This raises just one or two minor points. Manipulation? By whom? For whom? At what price? How is it kept secret? When was this first done? Who originated the idea? Who argued against it and why have they not come forward? Why does it not always work? Why doesn't it happen every Friday? So why should the market care if there's a crime surge? What about the other times there is a rally, are they manipulation too? How is this manipulation enforced? How is it transmitted to the market constituents in other countries and why should they toe the line, why should they care if there's a crime surge in the US? What about foreign public holidays, are they manipulated too? PS: What age are you?
lol! Tomorton wins the ET Most-Questions-Asked-in-a-Single-Post of the year award, issued bi-annually. MQASP for teh win.
%% I've noticed the same pattern; they maybe front running the Saint Nick rally/early.Seems to work well in an uptrending bull market anyway.Glad i did not sell my TQQQ last friday; payday friday is a common employee pattern/i found small business owner$ can get pay day$ anytime....................................................Sometimes payday later is much better