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After seeing the material on the highs/lows being formed on either Monday or Friday I would like to point out an occurrence of shorter term trading significance that carries almost the same statistical persistence.
In the more liquid markets the high or low is formed within a very short time and very small price difference from the open more than two thirds of the time. In the CBOT 30yr bond future day session for example there are several systems that test profitable buying or selling the open (it doesn't matter which) with a small optimized stop. One of three things happens. It runs with you, it hits your stop, or it provides you with time to trade out of your position with small profit or loss. The wins are big as these are the days with the open and close at opposite extremes and your losses are small.
One reason for this phenomenon is that the open represents a consensus of opinions between buyer and seller as to value. A sudden and strong departure from this consensus will usually set the tone for the day.
pat
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