Recruitment of participants Day Of Week Effect On Stocks

Strategy 91: Day Of Week Effect On Stocks

We mix price action and a day-of-week effect to create a potential short-term trading strategy. It works best for stocks. You can enter at the close of when the signal triggers or at the open the next day.

Performance metrics (Nasdaq 100 – QQQ):

• No. of trades: 443
• Average unleveraged gain per trade: 0.88% (2% for winners and -2.7% for losers)
• Win ratio: 76%
• Profit factor: 2.8
• CAGR: 15.9% (assuming no leverage and including dividends)
• Exposure/time in the market: 25%
• Risk-adjusted return: 61% (CAGR divided by time spent in the market (0.25))
• Max. drawdown: -28%

The equity curve (log scale):