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This is early results from what may be a more complete study of trading on Friday (when rankings come out) versus Monday (what the backtests assume). The data is incomplete, as it uses only 1997-1999, and only about half of the available stocks. I plan on following up on this with a more complete picture.

I've taken the stocks for six popular 5-stock screens and looked up their daily stock prices from Yahoo. Many of the stocks didn't have Yahoo data available (53% to be exact, with more RS stocks being found (~55%) than PEG stocks (~40%)). For those stocks that had data available, I re-evaluated the buy and sell prices from the Monday-close prices given in the backtest data. The main point of interest was using Friday close instead of Monday, but I also took a look at the rest of the week for completeness's sake.

The results are not unexpected, with RS screens showing a dropoff for each day of delay. PEG stocks dropped off later into the week, but Monday was actually better than Friday. In fact, it appears not to matter what day of the week you buy your PEG26 stocks (go Peggers!). The most significant was RS Overlap, showing a marked and steady decline throughout the week. A blend of the six screens shows a slight advantage for earlier purchases.

The CAGRs of the screens, adjusted for day of purchase. The Monday results are those of the unretouched backtest data:

PEG13 PEG26 PEGO RS13 RS26 RSO Blend

Fri 64 56 91 146 132 150 111
Mon 66 61 96 138 132 138 108
Tue 59 58 88 127 124 124 100
Wed 56 56 82 124 120 119 97
Thu 50 58 76 117 119 113 92
For comparison, I also ran the blend using the high and low prices from Friday and Monday instead of the closing prices. I found that the day mattered much more than the high/low:

High Low
Fri 111 113
Mon 108 109
I also took a look and some of the screens I run myself, since my main point of interest was deciding if I can afford to sit out the weeked before trading. Here are four of my 1-2 stock screens, one PEG-based (Movers), one RS-based (Freshmen), and two mixed:

OccM RSS Movers Frosh

Fri 295 93 45 226
Mon 259 111 54 199
Tue 247 137 57 173
Wed 253 136 54 166
Thu 266 121 52 171
My own results are apparently mixed. Given results of other screens not listed here, I would say it probably doesn't matter which day I trade. If I really wanted to put my faith in these results, I would trade on two days, with Friday also including my option-pumped OccM (738% instead of 594%!).

This is with roughly half of the stocks in the screens not being adjusted. One could surmise that were data available for all stocks, the differences would be more pronounced. One could also surmise that that means nothing without complete data, and only for 3 years. As for myself, I'll keep doing what I have been, but investigate this phenenom further.

- Jamie
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