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Average Open-to-Close Return per Day of Week

by QuantShare, 933 days ago
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This pivot table will show you how a stock or an asset would have performed intraday depending on two factors, which are the day of the week and the previous intraday return. By intraday, I mean here the open-to-close return and not the yesterday's close to today's close return.

The pivot table will display the day of week as rows and the previous day's performance thresholds as columns. There are four thresholds:
down-: Yesterday's intraday return is below -1%
down: Yesterday's intraday return is below 0%
up: Yesterday's intraday return is above or equal to 0%
up+: Yesterday's intraday return is above +1%


Here is an example of what the pivot table would look like:




At the top of the table you can type the symbol you want to analyze and the table will re-calculate automatically showing you the data of that selected symbol.
The table has "%PL" columns that display the average intraday return as well as "Count" columns that display the number of occurrences for a specific "day of week / up-down" pair.

To add a pivot table in a dashboard, open or create a new dashboard first by selecting "Tools" then "Dashboard". Once done, right click on the dashboard then select "Open Pivot Table".

Note 1:
Positive PLs are shown in green, negative PLs are shown in red and high PLs (> 0.5%) in blue.
You can update that and add more color conditions by right clicking on the pivot table then selecting "Update Table Settings".

Note 2:
The calculation is based on the past 10 years data (if available) of the selected stock or asset.


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Type: Pivot Table

Object ID: 1625


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