Strategies · Core
Weekday / Weekend Effect
Time equity (or crypto) exposure by day of week — a calendar leftover that has been mined to death.
Definition
Classic: weaker Mondays, stronger mid-week (specs vary). Implementation is a day-of-week overlay on index futures. Effects migrate and often vanish after publication.
Why it matters
It is in every seasonality screener. Treat it as a hypothesis to retire, not a policy.
Case
A Monday effect that flipped sign after the 1990s. The paper window was the edge.
How to read it
A recent hold-out and costs of four extra trades a month. If it needs 1962–1985, it is folklore.
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