Yamato
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I did a thorough study on the Dow Jones daily data (last 75 years of it), and managed to answer both of my questions - is there a constant difference in bullishness and volatility in the days in a week?
1) Volatility
Yes, there is. Wednesday is constantly, practically all years taken separately, the most volatile day in the week, if we count daily range of each day, high minus low.
The other days are less volatile the more distant they are from wednesday - friday and monday are the least volatile.
This difference in volatility is very constant, but very small, too, so I don't think this difference is large enough to be exploited in a trading system.
2) Bullishness
Bullishness seems to be different as well, according to days of the week. If we consider the past 20 years, Monday is the most bullish day by far, with the data being, if we add up all mondays to fridays in a year, for 20 straight years:
Monday: 6%
Tuesday: 3%
Wednesday: 2%
Thursday: -1%
Friday: 0%
Before 1988, things are just the opposite, but just as constantly, so I think we can safely assume it is not a random thing.
Just as I said for more likely volatility on wednesday, I think that the more likely bullishness on mondays cannot be exploited in a system, because with all the moving up and down that happens each day (a total of 36% a year in each day of the week), the +6% of mondays is not that different from the -1% of thursdays, as far as my system goes at least.
Of course if you happen to have an overnight system, that only trades once every 24 hours, then this is a major difference, because if this trend continued, simply by buying at friday's close and selling at monday's close, you would make 6% a year on average, with no other system needed. Yet, once again, for my intraday system this is irrelevant I think.
1) Volatility
Yes, there is. Wednesday is constantly, practically all years taken separately, the most volatile day in the week, if we count daily range of each day, high minus low.
The other days are less volatile the more distant they are from wednesday - friday and monday are the least volatile.
This difference in volatility is very constant, but very small, too, so I don't think this difference is large enough to be exploited in a trading system.
2) Bullishness
Bullishness seems to be different as well, according to days of the week. If we consider the past 20 years, Monday is the most bullish day by far, with the data being, if we add up all mondays to fridays in a year, for 20 straight years:
Monday: 6%
Tuesday: 3%
Wednesday: 2%
Thursday: -1%
Friday: 0%
Before 1988, things are just the opposite, but just as constantly, so I think we can safely assume it is not a random thing.
Just as I said for more likely volatility on wednesday, I think that the more likely bullishness on mondays cannot be exploited in a system, because with all the moving up and down that happens each day (a total of 36% a year in each day of the week), the +6% of mondays is not that different from the -1% of thursdays, as far as my system goes at least.
Of course if you happen to have an overnight system, that only trades once every 24 hours, then this is a major difference, because if this trend continued, simply by buying at friday's close and selling at monday's close, you would make 6% a year on average, with no other system needed. Yet, once again, for my intraday system this is irrelevant I think.
