Market Science
Seasonality Report
April 20, 2020
Updated 20Apr2020, 00:28:26 UTC
NOTE: THE CONTENT IN THIS DOCUMENT IS CONFIDENTIAL AND PROPRIETARY.
While care has been made to ensure accuracy in the preparation of this document, slight variations in data may exist due to inconsistencies from data providers and applications. Derivatives trading involves substantial risk of loss. Past performance is not necessarily indicative of future results. Market Science employees may hold positions in instruments mentioned herein.
While care has been made to ensure accuracy in the preparation of this document, slight variations in data may exist due to inconsistencies from data providers and applications. Derivatives trading involves substantial risk of loss. Past performance is not necessarily indicative of future results. Market Science employees may hold positions in instruments mentioned herein.
Day of Week Effects
Note: The bands on the following charts represent extreme distribution values for re-shuffled data, ignoring the weekday. Values outside of these bands indicate a greater chance of an actual market anomaly/inefficiency than effects of pure randomness. This does not eliminate the possibility of seeing such an effect due to chance, only reduces it.
Volume by Weekday
Volatility by Weekday
Performance by Weekday
Trend by Weekday
*Candle Body Ratio is defined as $\frac{\lvert{}open - close\rvert{}}{high - low}$
Higher values indicate stronger trend days, while lower values indicate choppier days
Weekday Heatmap
