Day-of-Week Bias

What It Does

Day-of-Week Bias runs on daily bars. The strategy holds two configured weekdays in mind: an entry weekday and an exit weekday. On every session close, it checks the day of the week:

• If today’s weekday matches the entry day and the strategy is flat, it buys at the close.
• If today’s weekday matches the exit day and the strategy is in a position, it flattens at the close.

There are no stops, no profit targets, and no other filters. The exit is purely date-driven. Holding length is whatever number of sessions sits between the entry and exit weekdays.

The default preset enters on Tuesday close and exits on Thursday close. A long position carried from Tuesday through Thursday targets the part of the week historically associated with positive drift in US equity index futures.

Why The Weekday Matters

Day-of-week return distributions for US equity indices have shown persistent, modest skew over multi-decade samples. Monday returns are often weaker; Tuesday-to-Thursday returns often stronger. The size of the effect is small, the variance is large, and the edge does not always survive transaction costs once trading frequency rises. Even so, the pattern shows up consistently enough across studies that it is worth a direct backtest before dismissing it.

This strategy does not try to do anything clever with the effect. It just expresses one specific window per preset and reports what happened. If a window does not stand up to the data, the result speaks for itself.

Presets

Five long-only presets ship out of the box, each carving a different window of the week. Pick the one whose window matches the hypothesis you want to test, or use the form to set your own entry and exit weekdays.

Best In

• Markets that show a measurable day-of-week return distribution. US equity index futures (NQ, ES) are the most-studied candidates.
• Daily-timeframe research. The strategy is designed for 1D bars and ignores intraday detail entirely.
• Studies that want a clean, parameter-free baseline before adding filters. Once the weekday window is fixed, there is nothing else to optimize, which reduces the risk of curve fitting.

Possible Uses

• A control strategy when evaluating other ideas: any strategy whose returns track a simple weekday bias is not adding much.
• An honest stress test of the day-of-week story. Run multiple windows and see how stable the edge is across years.
• A starting point for layered strategies. The weekday window can be combined with a regime filter, a trend filter, or a volatility filter to see if the calendar effect strengthens in some conditions.

What It Does Not Do

• No stops, no targets, no position-sizing logic beyond a fixed contract count.
• No intraday entries or exits. Orders fire only on daily-bar closes.
• No short side in the current preset list. Short variants are planned for a follow-up family, since adding short presets here would require parameter shapes the form does not yet support.
• No awareness of holidays. A short trading week with no Monday session still treats Tuesday as the second business day of the week, which is the intended interpretation.