Last week, we introduced strategies for trading each day of the week.  As always, they were based on past performance stats.  We discovered that over the last five years, it would have been prudent to take the following action:  (all were “in on the open, out on the close” plays).

1. Monday:  Buy or sell in the direction of Friday's close-to-close net change.
2. Tuesday:  Go opposite Tuesday's close-to-close net change.
3. Wednesday: Fade either Monday or Tuesday's direction, depending on which move was larger.  (Plus or minus).
4. Thursday:  Buy if the weekly high minus Wednesday's close was greater than the close minus the weekly low (and vice versa).
5. Friday:  Fade the largest close-to-close move (plus or minus) of the last four days.

We displayed the day-by-day results.  Figure 1 shows the combined performance from following the above rules for the last five years..

By the way, I did test for the open to close rather than close to close as that idea works better in other strategies.  With the calendar type idea, however, the psychology seems to center on the net changes as the news media defines them  (close to close).

Tomorrow we'll filter the above tendencies with some of the other biases we've uncovered.  Stay tuned.

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.