The Weekday Effect: Intraday Interval Analysis

Research Methodology

Our analysis methodology follows a rigorous 5-step process to extract actionable trading insights from massive datasets. We’ll demonstrate this approach using NQ Monday as a detailed example, showing exactly how we transform raw market data into profitable trading strategies.

Step 1: Historical Data Collection

Data Scope: We collected 1-minute resolution data spanning 17 years (2009-2025) across multiple asset classes:

• NQ (Nasdaq 100 E-mini): 850 Monday sessions
• ES (S&P 500 E-mini): Electronic trading hours
• GC (Gold): COMEX regular trading hours

Data Quality: Each instrument’s data underwent rigorous validation, including outlier detection, gap filling, and corporate action adjustments. This massive dataset provides the statistical power needed for meaningful pattern detection.

Step 2: Weekday Filtering

Isolation by Weekday: We separated the data by specific weekdays to identify day-of-week effects. For our NQ Monday analysis, this meant extracting 850 individual Monday trading sessions from the 17-year dataset.

Trading Hours Filter: Applied regular market hours (9:30 AM - 4:00 PM ET) to focus on the most liquid and relevant trading periods for retail and institutional traders.

Step 3: Regular Hours Analysis

Market Hours Focus: We filtered out pre-market and after-hours data to concentrate on:

• Opening: 9:30 AM ET (highest volatility period)
• Regular Session: 9:30 AM - 4:00 PM ET (core trading hours)
• Closing: 3:50-4:00 PM ET (closing auction effects)

This ensures our analysis reflects actual tradeable opportunities during standard market hours when spreads are tightest and liquidity is highest.

Step 4: Return Generation & Analysis

10-Minute Sliding Intervals: We generated 389 unique 10-minute intervals for each trading session:

• 09:30-09:40, 09:31-09:41, 09:32-09:42, etc.
• Each interval provides a discrete return measurement
• Total NQ Monday Data Points: 389 intervals × 850 sessions = 330,650 individual measurements

Return Calculation: For each 10-minute interval, we calculated:

Return = (Close Price - Open Price) / Open Price

NQ Monday Return Distribution Results

Sample Return Data (First 21 intervals showing the pattern):

This chart shows the first 21 intervals of Monday trading, clearly demonstrating:

• Opening strength (09:30-09:40): +0.017% average return
• Mid-morning pullback (09:40-09:50): -0.003% average return
• Recovery pattern (09:50-10:00): +0.011% average return

Step 5: Actionable Heatmap Generation

Visual Trading Tool: We transformed the statistical analysis into an actionable trading heatmap that day traders and scalpers can use in real-time. The heatmap displays all 389 intervals organized by 30-minute periods:

Heatmap Features:

• Y-Axis: 13 thirty-minute time periods (no overlaps)
• X-Axis: 30 intervals per period showing progression through each half-hour
• Color Coding: Green = profitable periods, Red = unprofitable periods
• Intensity: Darker colors indicate stronger statistical significance
• Hover Details: Exact returns, session counts, and time intervals

Key Takeaways from NQ Monday Analysis: The results above reveal critical trading insights that would have taken months to discover through manual observation. For example, the 09:30-09:40 interval shows a consistent +0.017% average return across 849 sessions - that’s a statistically significant edge that smart money exploits daily. The mid-morning weakness around 10:49-10:59 (-0.010% average) represents a reliable pattern for short positions or position exits. These aren’t random fluctuations; they’re repeatable behavioral patterns driven by institutional order flow, retail sentiment, and market microstructure that occur with remarkable consistency.

Trading Applications

Transform Data Into Profit: This heatmap analysis gives you a significant edge by revealing the precise timing patterns that institutional traders use. Instead of guessing when to enter or exit positions, you’ll have 17 years of statistical evidence showing exactly when each instrument tends to move favorably. This data-driven approach can dramatically improve your win rate, reduce drawdowns, and increase overall profitability by aligning your trades with proven historical patterns.

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Instrument-Specific Analysis

Choose Your Instrument

Each instrument has unique weekday patterns and trading characteristics. Click on any instrument below to access dedicated analysis pages with comprehensive weekday breakdowns: