Various Seasonality

The Day-of-the-Week Effect in the Gold Market

Anton Volkov 08 June 2022 138 4

The dynamics of financial market instruments depends on a huge number of various parameters. Studies of "calendar anomalies" - the dependence of prices for financial assets on a particular day, week or month - are very popular. The following calendar anomalies have already been considered:



These anomalies are characteristic primarily for the stock market. And today we will pay attention to the commodity market, and one of its main representatives is gold. Is the main precious metal affected by the day-of- the-week effect?


The day-of-the-week effect suggests that the market has an upward trend in price on a particular day of the week. Friday is considered the most favorable day of the week for the gold market. Probably, before the weekend, traders prefer to exit risky assets and shift to protective instruments. And gold just historically plays the role of the main defensive asset.

To conclusion

On Fridays, gold shows the largest growth compared to other days of the week.

К выводам
Data used

Historical data of gold futures.

Timeframe - D (daily).

Period - from 1990 to March 2022

There are 8216 values in total.


Entering the market - buying gold at the close of the previous trading day.

Exit from the market - selling gold at the close of the next trading day.


We will evaluate the results of the strategy according to the following criteria:

  • The average rate of return reflects the relative change in quotations of financial instruments in percentage. A positive value of the average rate of return indicates the profitability of the strategy, a negative one indicates a loss.


The average rate of return (D) of a financial instrument is given by the formula:

D = Σ P (%) / n,



n is the number of transactions;


P (%) – the percentage of change in the quotation of the financial instrument at the time of fixing the position, is calculated as follows:


for buy positions

P (%) = (position closing price - position opening price) / position opening price * 100%


for sell positions

P (%) = (position opening price - position closing price) / position opening price * 100%


  • The total rate of return (TD) is the sum of the returns from all transactions. The greater the value of the total rate of return, the greater the profit brought by the signal during its testing period.

  • Maximum drawdown (MaxDD) is the maximum loss in percentage terms from fixing losing trades for the entire testing period. The smaller the value of the maximum drawdown, the better the trading signal works.

MaxDD = | min ( DD1: DDn ) |

DDn = TDn – max ( TD1: TDn )



n - the number of transactions;

D - rate of return;

TDn - total rate of return of n transactions;

DDn – drawdown at the time of closing the nth transaction;

MaxDD – max drawdown.

Analysis of the obtained results 

Consider the results of the strategy for each day of the week.

According to the hypothesis, gold shows the greatest growth on Fridays – the average rate of return is 0.097%. Wednesday and Thursday also show a positive result, but significantly less compared to Friday - only 0.022% and 0.018%, respectively.


On Tuesdays, gold shows near-zero dynamics on average (-0.003%). And Monday has become the day with the worst result: gold during the first day of the week, on average, decreases by 0.017%.

More than 82% of the total increase in the price of gold for the period under review falls on Fridays. For all other days of the week, the total is less than 18%.

In addition to the highest return, gold also has the lowest maximum drawdown of 17.53% on Fridays. The worst result, as in the case of return, is on Monday: the maximum drawdown of 48.48% is almost 3 times higher compared to Friday's level.

Friday is also the only day for which positive return on gold is achieved in more than 50% of cases (53.49%). For all other days of the week, the probability of receiving a positive return is in the range from 49.52% to 49.91%, i.e. the probability of making a loss is higher than the probability of making a profit.

There is a clear tendency for market participants to avoid risk by buying gold on Friday, before the weekend. Traders prefer to go through the non-trading period in highly protective assets such as gold. At the start of a new week, risk appetite increases (if the weekend was relatively calm), which explains the negative dynamics of the price of gold on Monday and Tuesday.


The hypothesis of the largest growth in the price of gold on Fridays has been confirmed. At the same time, the strategy of buying gold at the close of trading on Thursday and selling at the close of trading on Friday also has the smallest maximum drawdown compared to other days of the week and the highest probability of receiving a positive return.

The effectiveness of using the day-of-the-week effect in the gold market has been revealed.

Detailed results are shown in the Appendix:

XLSX (0.95 MB)Day-of-the-week Effect in the gold market.xlsx



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