QQQ. Days of the week. Yesterday's close to today's open. (Opening gap)
Profit/loss calculated for each day of the week for the period from 3/10/1999 till 11/28/2011: go long on open, exit on close.
| Mon-Tue | Tue-Wed | Wed-Thu | Thu-Fri | Fri-Mon | |
|---|---|---|---|---|---|
| PL % | 33.28 | 12.11 | 59.70 | 31.00 | 44.92 |
Day of week profit/loss grouped by the year
| Year | Mon-Tue | Tue-Wed | Wed-Thu | Thu-Fri | Fri-Mon |
|---|---|---|---|---|---|
| 1999 | 10.00 | 8.80 | 18.80 | 11.38 | 18.12 |
| 2000 | 7.80 | 5.08 | -22.79 | 15.78 | 34.46 |
| 2001 | -8.30 | 14.49 | 3.14 | 10.53 | -21.85 |
| 2002 | -2.07 | -1.97 | -8.69 | 1.65 | -3.29 |
| 2003 | 8.38 | 2.80 | 4.32 | 6.52 | 2.00 |
| 2004 | 3.89 | 5.25 | 0.19 | -0.68 | 6.42 |
| 2005 | 5.17 | 1.31 | 0.58 | 3.01 | 6.13 |
| 2006 | 0.28 | -0.53 | 2.33 | 2.67 | 2.32 |
| 2007 | 2.06 | 3.79 | 5.85 | -1.52 | 8.13 |
| 2008 | 5.38 | 4.63 | -8.26 | -3.22 | -12.93 |
| 2009 | -4.13 | -1.17 | 9.32 | 5.96 | 1.00 |
| 2010 | 14.18 | -3.02 | 5.77 | 2.89 | -3.44 |
| 2011 | -0.37 | -4.22 | 0.85 | 1.30 | -1.21 |
Query used:
select
case DATEPART(W, t_1.d)
when 2 then 'Mon-Tue'
when 3 then 'Tue-Wed'
when 4 then 'Wed-Thu'
when 5 then 'Thu-Fri'
when 6 then 'Fri-Mon'
end 'Day of Week',
cast(sum((t.o- t_1.c)/t_1.c * 100) as decimal(10,2)) 'PL %'
from qqq t
join qqq t_1 on t_1.id = t.id -1
group by DATEPART(W, t_1.d)
order by DATEPART(W, t_1.d)