Mon-Thurs I turn off systems 30 min before market close and 60 min before on Friday. Definitely specific to the RTM strategy
Last time I looked into this, Friday and Monday were worst and the rest roughly similar. More reversals on Friday as the volume dries up near the close. Monday sees too much activity when all the weekend orders are processed through. My theory anyway.
LF doesn't trade. So he's analyzing a blank sheet of paper. People trade worse as the week progresses as they tend to force trades more due to inactivity. This thread is stupid.
I have a sort of technical view on this. It comes down to explanatory power. It isn't sufficient to just look at say 6 years of daily data and say objectively "yes it seems I do very poorly on Monday and Friday". You have to ask yourself can these data explain the return series. Is the variance in the return series explained by your observation? Moreover, can you even infer anything off of high frequency data like a daily or hourly return? That's up for debate in the literature. A more useful approach would be to gather a bunch of data and use it as an explanatory variable for your portfolio return series. Is your r-squared high enough? If so, perhaps there's some adjustment that needs to be done. Otherwise, you end up in this MBA-style spreadsheet micro-optimization that creates more problems than it solves. If the explanatory power isn't there then removing the days from your trading cycle could cause a reduction in return.
Anyone who's ever done any statistical work on the indices knows there are weekday biases. So I don't find it odd that this could translate into trading results too. I'm not really interested in solving anything per se. I was only curious if anyone else had looked into this and found anything interesting. Still, it seems like it worked for Mark Cook.
Friday, I don't want to lose on a friday, so I generally do something stupid, average down and put huge dent in the account rather than take a small loss and wait for another setup. Never trade Fridays!! Tomorrow / today is friday, no idea what day it is since lockdown, must not trade
i used to be afraid to trade on friday when i was a noob. but now i'm no longer scare. now i also wish i could trade saturday and sunday for us equities.