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The UK Stock Market Almanac 2016: Seasonality analysis and studies of market anomalies to give you an edge in the year ahead by Stephen Eckett

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Day of the week strategy

The performance characteristics of the equity market on the five days of the week can be seen in the Statistics section (page 113). To summarise, since 2012 the FTSE 100 has had negative average returns on Monday and Wednesday, and positive average returns on Tuesday, Thursday and Friday.

This suggests a strategy of going short the market for Monday (i.e. shorting at the close the previous Friday), switching to long on Tuesday, back to short on Wednesday, and then long on Thursday and Friday (and back to short at the close of Friday).

The following chart updates the results of implementing this strategy every week from January 2012 to mid-2015 (the time of writing). A spread cost of 1 point on each transaction is included ...

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