This is an interesting chart. Everybody nowadays seems to know that, statistically, September is the worst month of the year for market returns. The above chart takes this idea a step further and shows which days historically have been the best and the worst. Make of it what you will, but the folks at Marketsci Blog claim that incorporating historically strong and weak days into your trading can help make you more profitable.
As they state on their blog:
"The strategy was a real dog last month, but generally speaking, real-time results since I began sharing the calendar in October, 2012 have run inline with the historical test.
The S&P 500 has averaged 0.08% (23% annualized) on the best half of days versus 0.04% (12% annualized) on the worst half.
Quartile 4 days (the worst of days) have been particularly bad, with an average return of -0.09% (-21% annualized)."
They have posts for other months, too, maybe worth a look.
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