GBP/CHF day-of-the-week bias

In this analysis we will present a Bias identified in the GBP/CHF futures, an inefficiency that recurs in the market with a certain systematicity linked to specific days of the week.

By examining the different days of the week since 2010 and analyzing the average tick movements of the futures, we obtain the results shown in the figure below.

Figure 1 – GBP/CHF mean of fick movements per day of the week

Come si nota dalla Figura 1, lunedì e martedì tendono ad avere andamento positivo, mentre nel resto della settimana questo è negativo.

We therefore tried to identify those moments when the first two days of the week have negative returns as opposed to their usual pattern.

Four different moments were analysed where the previous week had negative returns of -0.5%; -1%; -1.5%; -2%.

<	-0,5%	-1%	-1,5%	-2%
Total tick movents	-1010	-1153	-751	-1352
Trades	160	90	47	27
Win Ratio	0,52	0,55	0,54	0,63
Profit Factor	1,17	1,32	1,36	2,4

Table 1

Table 1 shows that the first two days of the week follow the trend of the week before them.

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