Best Day Of The Week To Day Trade Strategy

This is an extremely simple trading strategy that simply buys the open and sells the close.  This was an analysis primarily done to determine what day is the most promising for a day-trader looking to go long the S&P 500. Do any patterns exist that could in fact be tradeable? Read on to see the results of our analysis.

Type Of Trading Strategy Day-Trade
Instrument Traded S&P 500 Index (ES)
Profit Factor 1.12
Total Trades 961
Percent Profitable 54%
Total Gain $26,850
Maximum DD * -$10,100
Period Tested 9/1/1997-11/2/2016
Tests Run 5 (M,T,W,Th,F)
Best Setting Thursday

AlgoGrader

Ease Of Use 90%
System Quality 10%
Percent Trades Profitable 54%
Trade It Live? 10%
  • Back-Tested
  • Walk-Forward Tested
  • Traded Live
  • Include In Featured System
Trading Futures & Options involves substantial risk of loss and is not appropriate for all investors. These strategies are not recommendations to trade but are provided for educational purposes only.

Which day of the week is the most promising with this day trading strategy?

MONDAY

How does trading this strategy on Monday rank?

FOURTH PLACE

bestday_monec

TUESDAY

How does trading this strategy on Tuesday rank?

THIRD PLACE

bestday_tueec

WEDNESDAY

How does trading this strategy on Wed rank?

Second Place

bestday_wedec

THURSDAY

How does trading this strategy on Thu rank?

First Place

bestday_thuec

FRIDAY

How does trading this strategy on Friday rank?

LAST PLACE

bestday_friec

Trading Strategy Rules

This is about as simple as they come. We buy the S&P Index on Thursday when the equity markets open and get out on the same day when the equity markets close.

  • Candle Length: 10 Minutes
  • Session Traded: 9:30 AM EST – 4:00 PM EST
  • Technical Indicators Used: None
  • Symbol: ES (S&P 500 Emini Futures)
Buy the ES at 9:30 AM EST every Thursday

  • Use a market order
  • Stop: No stop was used in this analysis
  • Limit: No limit order was used in this analysis
Sell the ES at 4:00 PM EST on Thursday (when equity markets close)

  • Use a market order
CFTC RULE 4.41: Results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

Next Steps & Further Evaluation

Given the simple nature of this day trading strategy, no further analysis is needed. This analysis was interesting in that it does show a bias to the LONG side on Wednesdays and especially on Thursdays. This data could be used in a more interesting day-trading strategy. For example, consider going LONG only on Wednesdays & Thursdays and possibly using a day-trade short strategy on Friday, Monday and Tuesdays. The Wednesday and Thursday Long strategy could be used with the Best Time Of The Day Trading Strategy to see if the combination provides additional trading opportunities.

Trading Strategy Summary

It is TradingSystem.org opinion that this strategy should not be traded with live money.  This strategy was initially performed simply to determine if any day of the week in particular is better than another for a LONG day-trade. Based on the back-testing, which has significant limitations per the below disclaimers, the worst day to buy the ES for a day trade is Friday, followed by Monday and Tuesday. Wednesday is second best while Thursday has the best performance.  It is interesting that the results flowed in a contiguous fashion.  This seems to lend more credibility to the findings.  No further analysis was done on this system – since the performance (even on Thursday) was not good enough to take this trading system to the next step.  Even without slippage & commission, this trading system has a profit factor of 1.12 – far below our minimum requirement of 1.30 to consider a trading system for further evaluation for use in our Featured Trading System.