Fractiz
Pattern Detail
Day-of-Week Bias
How RTH close-to-close returns differ by weekday and whether any specific day pulls above or below the all-session average.
Baseline Avg Return
+0.063%
Across 4,678 NQ sessions
Largest Deviation
-0.057%
Friday vs baseline mean
Sample Range
1d
2008-01-02 to 2026-02-24
Trigger: Per-weekday close-to-close returns vs. all-session mean
Per-Window Stats
| Window | Sessions | Avg Return | Median | Win Rate | Std Dev | Δ vs Baseline |
|---|---|---|---|---|---|---|
| Monday | 936 | +0.070% | +0.140% | 57.7% | 1.48% | +0.007% |
| Tuesday | 942 | +0.116% | +0.093% | 55.7% | 1.38% | +0.053% |
| Wednesday | 939 | +0.087% | +0.140% | 56.3% | 1.41% | +0.024% |
| Thursday | 940 | +0.036% | +0.101% | 54.9% | 1.44% | -0.028% |
| Friday | 921 | +0.006% | +0.076% | 53.0% | 1.33% | -0.057% |
| Baseline (all sessions) | 4,678 | +0.063% | +0.116% | 55.5% | 1.41% | — |
Detection scan: NQ 1d · 2008-01-02 to 2026-02-24 · generated Apr 27, 2026
What this pattern measures
For each RTH session, the close-to-close return is grouped by the weekday on which it closed. The page reports the per-weekday return distribution alongside the overall baseline (all sessions) so the deviation per day is directly readable.
Definitions used on this page:
- Sessions are aggregated from RTH bars only (08:30 to 15:00 Central Time for CME equity index futures).
- Return is
(close − prior close) / prior close. - Baseline is every session in the sample. The five buckets are subsets of that population, so the deltas describe how much each weekday pulls above or below the overall mean.
Why it matters
Weekday biases are some of the oldest claims in market lore: “Monday is weak”, “Friday is choppy”, “Tuesday is the trend day”. Most of these claims survive marketing better than they survive data. The numbers below show what’s actually true for the specific instrument and date range, not a generic equities aggregate.
How to read the numbers
- Avg return is the mean close-to-close return for sessions ending on that weekday.
- Win rate is the share of those sessions with a positive return.
- Delta vs baseline tells you how far each weekday’s mean sits from the overall mean. A positive delta means that weekday outperforms on average.
- Std dev captures how dispersed the returns are within the weekday — useful for sizing decisions, since a high mean with high variance is not the same trade as a high mean with low variance.
What’s not here
- Overnight returns separated from intraday.
- Holiday-adjusted weekdays (a short Friday before a long weekend is reported as a normal Friday).
- Conditioning on regime, volatility, or month of year.