I've been looking recently at whether the FTSE100 moves more (more often or more actively) on certain days of the week. I don't think I've found the differences are significant enough to be the basis of a trading strategy on their own but there are some interesting differences between the 5 weekdays and also between my figures and received wisdom from the trading community.
I have looked at the FTSE100 daily moves from the previous night's close between 13/03/03 and 05/05/06 (inclusive). I have regarded this as a single trend of the market (arguable) with the logic that (a) recent behaviour is a better clue to future behaviour than less recent behaviour, (b) it is possible the weekdays have a different significance in a bear market such as 30/12/99 to 12/03/03 and (c) I needed a large group of data for statistical validity. I ignored daily moves of less than 0.1%.
In a steadily rising market you would expect there to be more rising days than falling days and there were, but only 56% gave rises. From this you might expect each weekday to also give a rise about 56% of the time. Actually, Fridays were best with 60%, then Mondays with 59%. Tuesdays, Wednesdays and Thursdays gave 52, 54 and 55% respectively.
These aren't enormous differences, though the conclusion that Fridays outperform Tuesdays by +15% is interesting.
But the Monday and Friday outperformances may also be interesting. I have read, though most of the stuff on the subject is US, that Mondays are often falling market days, as most bad news tends to emerge over the weekends. The weekend closed period is longer than overnight mid-week closed periods, so there is more opportunity for bad news to emerge, plus the weekend broadsheets are influential and often the place where such news comes to light.
I have also read that Fridays are a falling day as people close their longs, sell shares etc. after a rising week (and I assume that in a bull market such as this one that most weeks end higher than lower) in order to bank profits and avoid the weekend risk.
Maybe the market wisdom is just wrong?
But these two days are the best performers compared to the others. And does the fact that they are both good performers suggest they are linked in strategies used in the market? Are big players really buying Friday and Monday with a time objective of taking profits on Tuesday?
Of course, this is just simplistic fun stuff, but what I might do next is introduce volume into the equation, and see which days deliver the biggest moves.
Glad of any comments.
I have looked at the FTSE100 daily moves from the previous night's close between 13/03/03 and 05/05/06 (inclusive). I have regarded this as a single trend of the market (arguable) with the logic that (a) recent behaviour is a better clue to future behaviour than less recent behaviour, (b) it is possible the weekdays have a different significance in a bear market such as 30/12/99 to 12/03/03 and (c) I needed a large group of data for statistical validity. I ignored daily moves of less than 0.1%.
In a steadily rising market you would expect there to be more rising days than falling days and there were, but only 56% gave rises. From this you might expect each weekday to also give a rise about 56% of the time. Actually, Fridays were best with 60%, then Mondays with 59%. Tuesdays, Wednesdays and Thursdays gave 52, 54 and 55% respectively.
These aren't enormous differences, though the conclusion that Fridays outperform Tuesdays by +15% is interesting.
But the Monday and Friday outperformances may also be interesting. I have read, though most of the stuff on the subject is US, that Mondays are often falling market days, as most bad news tends to emerge over the weekends. The weekend closed period is longer than overnight mid-week closed periods, so there is more opportunity for bad news to emerge, plus the weekend broadsheets are influential and often the place where such news comes to light.
I have also read that Fridays are a falling day as people close their longs, sell shares etc. after a rising week (and I assume that in a bull market such as this one that most weeks end higher than lower) in order to bank profits and avoid the weekend risk.
Maybe the market wisdom is just wrong?
But these two days are the best performers compared to the others. And does the fact that they are both good performers suggest they are linked in strategies used in the market? Are big players really buying Friday and Monday with a time objective of taking profits on Tuesday?
Of course, this is just simplistic fun stuff, but what I might do next is introduce volume into the equation, and see which days deliver the biggest moves.
Glad of any comments.
