Day-of-Week Bias

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.
• % Up 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.

FAQ

Is there a day-of-week effect in the market?

Weekday biases are some of the oldest claims in market lore, like “Monday is weak” or “Tuesday is the trend day,” but most survive marketing better than data. This page groups each RTH session’s close-to-close return by the weekday it closed on and compares each weekday to the all-session baseline. The delta vs baseline on the page shows how far each weekday’s mean sits from the overall mean for this specific instrument and date range, not a generic equities aggregate.

Which day of the week is best for the market?

That depends entirely on the instrument and period, which is why this page reports the actual numbers rather than a rule of thumb. For each weekday it shows average return, the share of up sessions, delta vs baseline, and standard deviation, so a high mean with high variance reads differently than a high mean with low variance. A positive delta means that weekday outperformed on average over the sample. Read the table to see which day, if any, actually pulled above the average here.