I was interested whether the famous Sunday dip was a real thing or a delusion based on false perception reinforced by everyone talking about it.
I choose Bitcoin as the underlying asset because of its unbroken and consistent market dominance, the availability of its price data over time and the general consensus that Bitcoin tends to move the direction of the whole market.
I took the historical Bitcoin data from the Quandl and used R for the analysis.
Plot1 shows daily Bitcoin performance over time broken down by weekday. Interestingly, Sunday starts off in the middle of the pack performance-wise before really starting to drop around mid 2017.
Saturday and Friday on the other hand are the “leading days” in Terms of performance. Looking at the result I wondered if a simple “sell the Saturday dip” strategy would have resulted in a significantly better performance than just holding over the observed time frame.
Plot2 shows the result of said strategy (selling at the close of each Saturday and buying at the close of each Sunday vs. simply buying and holding from day 1). It seems that this strategy is not really advisable. The amount of BTC drops over time and was only able to recover in late 2017 when the “Sunday dips” were seemingly becoming an actual thing.
I can put the code in github if anyone is interested.
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