I’m Serious this Time, Enough with the Mondays

02Feb10

This is an update to my last look at whether the uncanny string of positive Mondays we’ve experienced since September of last year is really all that unprecedented.

For those keeping score at home, the S&P 500 has closed up on 17 of the last 19 Mondays (or Tuesday if Monday was a holiday) for an average gain of +0.86%.

Impressive?

19 Mondays is about 90 trading days.

In the graph above I’ve taken every 90-day period on the S&P 500 since 2000 and looked at the median return of the best day of the week over that period. To be fair to our current run, I also included the first day of the week as a possibility (even if it wasn’t always a Monday).

The graph shows that our current string of strong starts is approaching median returns rarely seen this decade.

The next graph uses the same rolling 90-day window, but rather than looking at median returns, I’m looking at the percentage of days that closed up on the best day of the week.

Here we’re running neck and neck with historical highs (you can’t improve much on 17 out of 19 days up).

Summary

Impressive? For its infrequency, sure. But as a trading edge? I don’t think so.

I’m still of the mind that this is an anomaly and will pass into the annals as just another blip on the chart, and I am NOT considering Monday strength in our own trading.

If our models happen to be long on Monday (which luckily they have been every Monday since I put my foot in my mouth) then so be it, but if not, then that’s okay too.

Happy Trading,
ms

P.S. in my previous post I looked at “excess” returns rather than pure returns (i.e. how the best day of the week performed relative to all days). I still think that’s a more sound analysis (and would show that this particular string of up days is a bit less unprecedented), but I’ve switched to this simpler “straight” method because I think it’s easier for folks to understand.

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Filed under: Time-based   |  2 Comments