A Strategy For Each Day of the Week [Seriously?]
A different strategy for each day of the week? Sounds crazy, but is it?
I have wrote about “Turnaround Tuesday” before.
This simple strategy is actually at new highs since this was published over 10 months ago!
But what about other markets? Is it possible to just trade one market per day of the week (from open to next day’s open) on a specific day of the week and still do well? If you would have followed this simple “portfolio” below for the past 15+ years then yes.. you would have. You wouldn’t even of had to sit in front of the screens like the rest of us degenerates..
Strategy 1: Short Crude Oil on Mondays
Simple strategy dating back to 2003. Short Oil on Monday’s open and cover on Tuesday’s open. Results based on a 1 lot.
Strategy 2: Turn Around Tuesday
If Monday was a down day (Monday’s close less than or equal to Monday’s open) then buy Tuesday’s open and sell on Wednesday’s open. Results based on 1 lot.
Strategy 3: Long Gold on Friday's. Weekend Risk.
Maybe in lieu or anticipation of bad weekend news releases, buying Gold on Friday’s open and holding over the weekend to exit on Monday’s open has produced the following based on 1 lot.
Portfolio of Strategies
Not a bad portfolio equity curve, right?! One of the hidden ‘holy grails’ in trading is combining systems together to smooth the equity growth of the account. No one single super star out of any of these 3 strategies but combined their curve starts to look rather nice.
Utilizing Build Alpha for Seasonal Edges
Sure these might not be alpha generators on their own but maybe they can be combined with some other price patterns, filters or targets and stops to become full strategies. They can certainly act as intermarket or multi-time frame filters for more complicated strategies.
For example, if you have a 60-minute mean reverting system that buys oil dips then maybe it should be turned OFF on Mondays! At the very least it is worth a look, and this is all made very simple with Build Alpha – just point, click, test.
Odd vs Even Days
For example, did you know S&P500 has performed much better on even days than odd days? (April 6 is an even day).
Takeaways
Anyway, I just wanted to show some simple things that can be tested in Build Alpha and how sometimes the simplest ideas turn out to work the longest. Maybe because people think they’re too simple and that they can’t work? I don’t know.
Either way I have put some python code (and TradeStation code) in the private Build Alpha users’ forum to specify day of the week as I know a lot of you are trying to learn python so I figured I’d help out a bit. But day of week is all point and click options pre-built into Build Alpha’s signal library for those of you who could care less about learning to code! Build Alpha has support for various seasonal filters such as:
- Day of week
- Day of week combos
- Trading Day of Week
- Trading Day of the Month
- Trading Days Left in the Month
- Trading Day of Quarter
- Trading Day of Year
- Month
- Quarter
- Even or Odd
- and More
Happy Friday.
Cheers fellas,
Oil is virtually a 24 hour market – so what opening time and closing
time is used for the ‘Short Oil on Mondays’ strategy. Or are you the
Pit times. Your article does not make this clear.
Look forward to your earliest reply.
Thank you
Hey,
I used globex session – default session from TradeStation’s @CL data actually. I figured this would be easiest for most to replicate.
Thanks for checking out the post,
David
Could you please talk in terms of time zones?
thanks
Hey,
Yep, these are all using the globex sessions as dictated by the exchange. Previous comments addressed this.
Thanks,
David