Vai al contenuto

Analysis of Day-of-the-Week Bias in Gold Futures

This week we launched a new quantitative reporting service dedicated to Gold Futures: a report of over 140 pages (per single financial instrument) that we have named “Gandalf Sonar.”

The objective of this work is to deeply explore the quantitative characteristics and nature of the instrument and to identify which strategies work for the instrument itself. This is achieved by applying a plethora of trading systems, akin to the acoustic waves of a sonar, to probe the impulsive response of the instrument under different stimuli. The report is updated periodically and allows one to capture the dynamics that are developing, both on an intraday and multiday basis.

The goal of the “Gandalf Sonar” is to provide an unparalleled depth of analysis compared to other services, to use the tables for detailed analysis (to produce articles or second-level reports), and to obtain a manual for the design of speculative or hedging strategies that can vary over time.

In this brief article, we will focus on a small section of this service (updated here as of May 2024), specifically on the statistical analysis of price samples aggregated on a daily basis. We differentiate between the aggregate of intraday samples (intra-session) and overnight samples (inter-session) and show the results over three different observation periods:

  • Total Period: from January 1, 2007, to the most recent extraction date.
  • Intermediate Period: the last 10 years of historical data.
  • Recent Period: the last year of historical data.

The aim is to understand not only the periodic recurrences (“Bias”) but also the dynamics occurring between one sampling and the next.

Total Period: from January 1, 2007, to May 23, 2024.

Analyzing the observation period from January 1, 2007, to May 23, 2024, we can observe a rather strong positive trend on Fridays (with a significance of 55.85% intraday and 56.53% overnight), a negative trend on Mondays (where the significance is weak, only 50.55% intraday and 50.88% overnight), and again a positive trend on Wednesdays (with a significance of 52.09% intraday and 51.65% overnight).

Intermediate Period: the last 10 years (from May 23, 2014, to May 23, 2024)

Analyzing the observation period of the last 10 years (from May 23, 2014, to May 23, 2024), we can observe a rather strong positive trend on Fridays (with a significance of 54.04% intraday and 54.44% overnight), a negative trend on Mondays (51.53% intraday and 52.11% overnight), and a positive trend on Wednesdays (with a significance of 50.77% intraday and 50.00% overnight). Thursdays have reversed their behavior and now show a positive trend (50.38% intraday and 50.19% overnight).

Recent Period: the last year (from May 23, 2023, to May 23, 2024)

Analyzing the observation period of the last year (from May 23, 2023, to May 23, 2024), we observe a strong positive trend on Fridays (with a significance of 52.94% intraday and 58.82% overnight), a negative trend on Mondays (but without sufficient significance, 44.23% intraday and 46.15% overnight), and a positive trend on Wednesdays (with a significance of 49.06% intraday and 49.06% overnight). Thursdays have confirmed their reversed behavior, now showing a positive trend (52.83% intraday and 54.72% overnight).

These insights can be used to create operational filters in the design phase of a trading system, but it is recommended not to use this information as a standalone entry setup.

Below is the monthly breakdown for June of the weekly trends. The Monday and Friday trends are confirmed, while the Wednesday trend is significantly compromised.

What emerges at the end of this analysis is a periodic dynamic movement that seems to have strongly polarized weekly movements: a bearish bias at the beginning of the week and a trend reversal starting from Wednesday.

To purchase the Gold Futures Report with the current launch promotion (updated on July 2024), you can visit this link and write to us at info@gandalfproject.com.

Giovanni Trombetta

Founder & Head of R&D Gandalf Project

Lascia un commento

Il tuo indirizzo email non sarà pubblicato. I campi obbligatori sono contrassegnati *