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Trading Day - Revisited

In this article we follow up on the discussion we had on the concept of a trading day. The following table represents the Day-of-Week analysis for close-to-close average daily log returns (in percent).

Note that for TNX and TYX, negative return on the interest rate means positive bond price movement and vice versa.

 

 

                           
Symbols   Buy/Sell Day of Week   Average One Day Log Returns (Close to Close)  
Sell Buy Best Sell Best Buy Overall F-M M-Tu Tu-W W-Th Th-F  
spy     M, T, W, T, F   M   0.034% 0.045% 0.071% 0.029% 0.008% 0.016%  
dia   Th M, Tu, W, F Th M   0.026% 0.044% 0.058% 0.021% 0.018% -0.010%  
qqq   M, Th Tu, W, F Th W   0.013% 0.000% -0.023% 0.021% 0.120% -0.054%  
gld   W, F M, T, Th W Th   0.048% -0.006% 0.012% 0.081% -0.018% 0.166%  
tnx   Tu, W, Th M, F Th F   -0.020% -0.068% -0.062% 0.005% 0.000% 0.022%  
tyx   Tu, W M, Th, F Tu M   -0.014% -0.042% -0.048% 0.028% 0.018% -0.029%  
                           

For my current trading set, we obtained the following results.

 

 

                           
Symbols   Buy/Sell Day of Week   Average One Day Log Returns (Close to Close)  
Sell Buy Best Sell Best Buy Overall F-M M-Tu Tu-W W-Th Th-F  
t   M, W, F Tu, Th Tu F   0.033% 0.127% 0.028% -0.053% 0.079% -0.007%  
vz     M, T, W, T, F   F   0.030% 0.076% 0.005% 0.010% 0.013% 0.048%  
gps   Th M, T, W, F Th W   0.055% 0.045% 0.042% 0.086% 0.144% -0.044%  
anf   M, F T, W, Th M Tu   0.039% -0.061% -0.066% 0.268% 0.037% 0.007%  
dis   F M, T, W, Th F M   0.040% -0.043% 0.080% 0.068% 0.020% 0.071%  
ba   F M, T, W, Th F Tu   0.035% -0.100% 0.072% 0.112% 0.044% 0.037%  
lmt     M, T, W, T, F   Th   0.055% 0.053% 0.051% 0.005% 0.106% 0.059%  
cat   W M, T, Th, F W F   0.056% 0.241% 0.048% 0.012% -0.024% 0.013%  
de   W M, T, Th, F W F   0.056% 0.124% 0.062% 0.089% -0.014% 0.021%  
emr   Tu, Th F, M, W F Th   0.048% 0.115% 0.128% -0.014% 0.047% -0.033%  
adm   F M, T, W, Th F Th   0.034% -0.006% 0.050% 0.016% 0.036% 0.071%  
mon     M, T, W, T, F   W   0.074% 0.012% 0.108% 0.133% 0.062% 0.046%  
jpm   Th M, T, W, F Th M   0.060% 0.063% 0.131% 0.128% 0.005% -0.030%  
gs   F M, T, W, T F Tu   0.028% -0.089% 0.063% 0.094% 0.011% 0.051%  
pfe   W, Th M, Tu, F Th F   0.049% 0.127% 0.100% 0.067% -0.019% -0.028%  
bmy   W M, T, Th, F W F   0.033% 0.109% 0.107% 0.022% -0.085% 0.015%  
abc   Tu, F M, W, Th F W   0.067% -0.034% 0.130% -0.010% 0.142% 0.102%  
mdlz   Tu M, W, Th, F Tu M   0.027% 0.041% 0.058% -0.040% 0.034% 0.042%  
aapl   Th M, T, W, F Th F   0.067% 0.174% 0.078% 0.126% 0.078% -0.115%  
intc   Th M, T, W, F Th Tu   0.057% 0.118% 0.150% 0.170% 0.025% -0.182%  
csco   Th M, T, W, F Th Tu   0.092% 0.035% 0.100% 0.202% 0.147% -0.031%  
hpq   M, Th Tu, W, F Th F   0.043% 0.181% -0.041% 0.118% 0.033% -0.069%  
cvx   Tu M, W, Th, F Tu F   0.048% 0.126% 0.091% -0.006% 0.023% 0.010%  
bp     M, T, W, T, F   Th   0.029% 0.039% 0.023% 0.024% 0.019% 0.043%  
ngg   Tu M, W, Th, F Tu M   0.038% 0.099% 0.116% -0.071% 0.042% 0.013%  
nly   Tu, F M, W, Th F Th   0.054% -0.111% 0.166% -0.038% 0.065% 0.176%  
ni     M, T, W, T, F   Th   0.050% 0.069% 0.062% 0.033% 0.008% 0.077%  
wmb   F M, T, W,T F W   0.057% -0.126% 0.017% 0.023% 0.198% 0.167%  
csx   F M, T, W, T F W   0.049% -0.028% 0.043% 0.075% 0.090% 0.058%  
nsc   M, Tu W, Th, F Tu W   0.045% 0.006% -0.010% -0.040% 0.141% 0.132%  
cnw   M, Th Tu, W, F M W   0.036% 0.042% -0.006% 0.054% 0.094% -0.006%  
mo   Th M, T, W, F Th F   0.059% 0.203% 0.063% 0.048% 0.028% -0.038%  
                           

If anything, some of the discrepancies in day-to-day returns are quite fascinating. Considering that most of the numbers came from a couple of decades of data, where available, it clearly cannot be dismissed as statistical anomalies.