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STATS - Friday before a three days weekend
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STATS - Friday before a three days weekend

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STATS - Friday before a three days weekend

Has any of you long time traders have the stats for a Friday before a three days weekend ? What's the chance to have higher price or trend day vs range bond conditions ?

Also, did any of you check Dalton's blog on market profile ? Comments are interesting.
http://jamesdaltontrading.com/blog/


Last edited by trendisyourfriend; February 18th, 2011 at 11:19 AM.
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I think it would be more the opposite in the sense of if you had a prediction for a range bound or trend day, after a 3 day weekend you would trust the model less than normal days.
I would think the VIX probably tends to jump like today because of that whole day of the market not pricing anything.

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I have been told there is a 65% chance to see higher price before a 3 days holiday. I just wanted to get some feedbacks.

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In general, if you hear such hard numbers like "65%" for such a specific market question as this you can pretty much auto file it as nonsense.

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Calendar events and SPX

I recall a mantra of buy on Mondays and Sell on Fridays, similar your the markets go up on the day before a long weekend question.

So after seeing your query, I decided to run some numbers.

Caveats:
  • Only SPX data used - 1.Jan.1990 to 4.Mar.2011
  • Dec 22-31 removed on all years
  • Open Close values based on CME session
The average change on SPX for all dates was +0.03%
The average change the SPX ahead of long weekend was +0.04% , that is statistically significant, but not necessarily what you were looking for.
There were 112 long weekends (by my calculations) with 54 days having gains prior to the long weekend for %48 (not %65).

Some other info

SPX % Market Gains 1.Jan.1990-4.Mar.2011

0.31% 1st Day of Month
0.04% Ahead of 3 day Weekend
0.07% Freaky Fridays
0.02% None of the above
0.03%
Total Average

0.053% Mondays
0.046% Tuesdays
0.048% Wednesdays
0.009% Thursdays
0.000% Fridays
0.031% Total Average

So is it time to change your trading plan, buy early in the week and sell off on Thursday and Friday?

Cheers, Darryl H.

Attached Files
Register to download File Type: xls SPX history.xls (1.98 MB, 14 views)

Last edited by Darlh; March 7th, 2011 at 11:23 AM. Reason: formatting issues
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