Let's continue our look at action in the indexes for each day of the week.  Thursday's bias is a fade as are all the other days of the week except Monday.  For Thursday, we take the highest high of the last three days minus Wednesday's close.  If that distance is greater than Wednesday's close minus the three-day low, it's a bullish signal, so we buy on Thursday's open and sell at the close.  If it's less than Wednesday's close minus the three-day low, it's a bearish signal, so we sell short at Thursday's open and buy (close the position) at the close.

Here are the results of Thursday's analysis.  The following is the last five years of data when opening a position at Thursday's open and closing the position at Thursday's close based on the above rules.

You might have noticed that every one of these day-of-week biases feature huge average profit-per trades in most of the targeted markets.  Whenever you have see numbers significantly in excess of $100, you are traversing the standard per trade barrier that is customarily figured for slippage and commission.  In other words, at this point it's not unreasonable to consider using them as actual mechanical systems.  And we haven't even explored the possibility of stops or other qualifiers.

Overall, this is pretty exciting.  It's not hard to reconcile the apparent drivers to investor psychology.  There could well be a mass investor rhythm that has a distinct character at the very start verses the end of a week with quantifiable features in between.

By the wayâ€"not that this is statistically earth-shattering, but just as a point of interest: Since the start of the week, we've had eight day trade opportunities in the three indexes.  (One didn't materialize because of a closing tie).  We batted 1000â€"no losers.  Can the streak continue?  For today, buy signals are flashing in all three indexes.

Tomorrow we'll look at the Friday's tendency, completing our total map of days-of-the-week biases.

Art Collins is the author of Market Beaters, a collection of interviews with renowned mechanical traders. He is currently working on a second volume. E-mail Art at artcollins@ameritech.net.