On Friday (6/5/2009) in our trading room at TTTHedge.com one of the fellow members questioned if “Friday could be a top?” The member had read somewhere that top’s never occurred on Fridays. This is the kind of question that always leads me back to the charts. If tops “never” occurred on Friday, than we should be able to exploit this to get a tradable edge. So I wrote a quick EasyLanguage filter that found 20 day tops. A top being defined as the highest value over a moving 20 day trading period. Here is a chart of the NYSE index, the red dots being defined as the tops.
Here are the results of running this on a 40 year chart of the indices:
The average should be 20% and in fact Friday looks almost like any other day with the numbers hovering around the 20% value. The $COMP looks a little favored for actually making its highs on the Friday. The interesting result is that Monday’s are consistently under the statistical average.
While I don’t believe there is any tradable edge, it is worthy of further exploration.. Another project..
Happy Trading
-RLT
