Guide · Calendar
Does Weekend Effect work?
Across 375 stocks, Weekend Effect cut the worst fall on 68%, beat buying and holding on risk-adjusted return on 16% and on raw return on 16%. Mixed: it helped on some kinds of stock and cost money on others, so where you use it matters.
What it predicts
Step out at the week's last close and buy back at the next week's first close, skipping the weekend-plus-Monday stretch that used to lose money.
- Out at the close of the last session of each week, normally Friday.
- In at the close of the first session of the next week, normally Monday.
- So the stock is held from Monday's close to Friday's close and skips the weekend and Monday.
Calendar plays bet that some parts of the year and month have been reliably stronger than others. The family guide
How to use it
- It trades often (about 105 switches a year per stock), so costs, spreads and taxes eat into it more than the backtest's 0.05% per switch suggests.
- It worked best on Industrials & rentals (33% beat holding on risk-adjusted return) and worst on Media & telecom (0%).
- Use it as one input. Your signal combines the plays you count with the other factors you weight into one call.
When it worked
Weekend Effect did best against holding in the 2008 crash (+22% median gap) and worst in the 2020–21 rally (−28%). Median gap in return against holding the same stock (per year over stretches longer than 18 months; crypto excluded).
| 2008 crash | Recovery 2009–19 | COVID drop | 2020–21 rally | 2022 bear | Since Oct 2022 | |
|---|---|---|---|---|---|---|
| Weekend Effect | +22% | −7% | +20% | −28% | +5% | −10% |
Where it worked
By kind of stock: how often it beat holding on risk-adjusted return, and the median Sharpe ratio gap.
| Group | Beat holding, risk-adjusted | Sharpe gap |
|---|---|---|
| Industrials & rentals | 33% | -0.09 |
| Energy & power | 31% | -0.11 |
| Consumer & retail | 26% | -0.14 |
| Healthcare | 22% | -0.17 |
| Metals & mining | 18% | -0.09 |
| Micro caps | 17% | -0.08 |
| Real estate | 16% | -0.08 |
| Industrials & materials | 16% | -0.12 |
| Semiconductors | 9% | -0.18 |
| Financials | 8% | -0.21 |
| Software & devices | 6% | -0.17 |
| Sectors | 0% | -0.26 |
| Indexes & ETFs | 0% | -0.29 |
| Big tech | 0% | -0.22 |
| Media & telecom | 0% | -0.19 |
Where it helped most
Sharpe ratio gap against holding, stocks with 3+ years of history
Right now
Weekend Effect holds 377 of 377 names as of the Oct 13, 2026 close.
Changed its call in the last two weeks:
Backtest results since 2005 (or as long as each stock has traded), against holding the same stock over the same dates, after 0.05% per switch. Past results don't promise future ones. This analysis does not constitute trading advice. Please meet with an advisor or independently review sources before making any decision.