It is also interesting to note that the strategy definitely performed better on Sunday’s, Monday’s and Friday’s and performance dipped off midweek. Perhaps as a start of the week and end of the week only strategy it has some potential but then we start to enter the world of data mining and we don’t want to go there. https://www.prorealcode.com/topic/day-month-year-strategy-robustness-tester/#post-106753
Friday’s can have heavy volume and in not always the same direction the market opens in. Friday’s direction can also set the tone for the coming week with Monday continuing in the same direction. I haven’t studied if this is statistically significant but from personal experience I always lost more money on Friday’s than any other day. I think because of those reversals and also because of trade reports like NFP’s coming out which could occasionally be dramatic. It got to the point where, when Fridays rolled around, I would usually just go “Meh”.. and play guitar instead!
