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.
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
0.000% 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.
Last edited by Darlh; March 7th, 2011 at 10:23 AM.
Reason: formatting issues
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