Turnaround Tuesday: The One-Day Edge That Still Works
A 1980s Larry Williams idea, rebuilt into a modern two-market portfolio
Research and education only. Results are hypothetical and based on backtests and simulations. Past performance does not predict future results. Futures and derivatives involve significant risk. Test on your own data, costs, execution, and infrastructure before trading.
Larry Williams found one of the simplest edges in the market.
Buy Monday’s close after a weak Monday.
Sell Tuesday’s close.
That is it.
No prediction.
No complicated model.
No intraday monitoring.
No market commentary required.
The idea became known as Turnaround Tuesday.
The logic is behavioural.
Markets often absorb fear after the weekend. News builds up. Institutions rebalance. Retail traders panic. Monday can become the emotional flush.
Then Tuesday arrives.
Shorts cover. Dip buyers step in. The fear trade unwinds.
The original idea is simple:
Buy: Monday’s close, but only if Monday closes below Friday’s close
Exit: Tuesday’s close
Market: @ES.D daily
Hold time: one day
Trades: maximum one per week
Why the One-Day Hold Is the Entire Edge
Most mean reversion strategies eventually get hurt because they hold too long.
A 3-day hold can become a 5-day problem.
A 5-day hold can become a bear market trap.
A bear market trend can grind a “cheap” entry into dust.
That is what happened to a lot of strategies in 2022.
They worked beautifully during the 2010s bull market, then collapsed when the regime changed.
Turnaround Tuesday avoids that problem because it is barely in the market.
You are not trying to call the bottom.
You are not trying to predict next week.
You are not trying to survive a trend.
You are exploiting one behavioural window:
Monday fear.
Tuesday relief.
Exit.
That short hold time is the protection.
You cannot get trapped in a long trend if you are only holding for roughly 24 hours.
That is why the concept has survived 2002, 2008, 2020, and 2022 better than many longer-hold mean reversion systems.
But survival does not mean perfection.
What the Original Looks Like Today
I tested the original Turnaround Tuesday idea on:
Instrument: @ES.D
Market: E-mini S&P 500 continuous daily data
Period: November 1997 to April 2026
Position size: 1 contract
Frequency: maximum 1 trade per week
Here are the actual TradeStation results:
This is not a bad strategy.
That matters.
The original version is not broken. It makes money. It has a logical behavioural foundation. It spends very little time in the market. It has survived multiple market regimes.
But the equity curve still tells an important story.
The early period is rough. The first part of the curve spends years chopping sideways and dipping below zero. It eventually recovers, but the first stretch is not clean.
The strategy finishes at $109,037.75, but the path is not as smooth as the final number makes it look.
The Real Problem With the Original
The original does not buy every Monday.
That would be too crude.
The true original only buys when Monday closes below Friday’s close.
So the edge already understands the basic idea:
Monday needs to be weak.
But that still leaves a problem.
It treats every down Monday the same.
A Monday down 0.03% gets a trade.
A Monday down 0.15% gets a trade.
A Monday down 1.20% gets a trade.
Those are not the same setup.
One is noise.
One is mild weakness.
One may be genuine fear.
That is where the original leaves money on the table.
The original captures the broad Turnaround Tuesday tendency, but it also takes too many marginal trades where there is not enough selling pressure to create a meaningful reversal.
That is why the average trade is only $187.67.
That is why the profit factor is only 1.48.
Again, that is not terrible.
But it is not where the research ends.
What Our Version Fixes
Our version does not discover Turnaround Tuesday.
Larry Williams already did that.
Our version improves the edge by asking a better question:
Which Turnaround Tuesday setups are actually worth taking?
That distinction matters.
The original version trades every down Monday.
Our version focuses on higher-quality reversal conditions, then combines two complementary versions into a portfolio.
Here is the difference:
That is the key.
Our portfolio made about 2.5x more total profit.
It did it with 142 fewer trades.
The average trade improved from $187.67 to $621.47.
The profit factor improved from 1.48 to 2.26.
And return-to-drawdown improved from roughly 7.39x to 16.82x.
Return-to-drawdown means this:
For every $1 of maximum drawdown the strategy had to survive, how much total profit did it produce?
The original produced about $7.39 for every $1 of drawdown.
The portfolio produced $16.82 for every $1 of drawdown.
That is the real improvement.
Not just more profit.
Better profit per unit of pain.
The public version shows the original edge.
Our version shows how we improved the trade selection, validated it across markets, combined it into a two-instrument portfolio, and stress-tested it with Monte Carlo.
That is where the real research is.
Original Turnaround Tuesday Code
Run this on @ES.D daily bars.
Inputs:
ATRLength ( 14 ),
ATRMult ( 2.0 );
Variables:
MondayDrop ( 0 ),
StopAmt ( 0 );
If DayOfWeek(Date) = 1 Then Begin
MondayDrop = (Close[1] - Close) / Close[1];
If MarketPosition = 0 AND MondayDrop > 0 Then Begin
StopAmt = ATRMult * AvgTrueRange(ATRLength) * BigPointValue;
SetStopLoss(StopAmt);
Buy("TT Buy") This Bar on Close;
End;
End;
If MarketPosition = 1 Then Begin
If DayOfWeek(Date) = 2 Then
Sell("TT Sell Tue") This Bar on Close;
If DayOfWeek(Date) = 3 Then
Sell("TT Sell Wed") This Bar on Close;
End;
