Why the Exit Is Monday's Open, Not Friday's Close

The Thursday Question: doesn't holding through the weekend add risk? It does. The system holds anyway.

This week’s Thursday Question comes straight from the June member Q&A: why does the time stop sit on Monday’s open instead of Friday’s close? Doesn’t holding through the weekend add risk?

Short answer: yes, it adds risk. And the system holds anyway, because the weekend is part of the trade.

Here’s the thing about the Swing Combo’s 17.30% max drawdown over 25 years (the S&P drew down 57% over the same stretch). That number includes every weekend since January 2000. Every Sunday-night futures scare, every Monday gap, good and bad. 16,687 trades, weekends in. The risk you’re worried about isn’t hiding outside the backtest. It’s priced into the number.

Could I exit Friday’s close instead? Sure. But then you’re trading a different system than the one that was tested. The edge was measured on a holding period that includes the weekend. Cut the weekend out and you’re flying on a backtest you don’t have. I’ve killed work over smaller changes than this. I spent 100 hours testing a daily-cadence version of the swing systems, it failed by about 1%, and it’s gone. Most of what you build as a systematic trader fails.

And practically: exiting Friday and re-entering Monday means paying slippage and commissions twice for the privilege of feeling safer while the market is closed anyway.

The discomfort is real. After 18 years inside hedge funds and prop firms, my CMT take is simple: when comfort and data disagree, the data wins.

If weekend gaps are what’s keeping you up, the bad stretches aren’t hidden. That’s what The Drawdown Memo exists for, and paid members get it the moment a real drawdown starts.

Free 25-Year Backtest PDF: https://www.statsedgetrading.com/the-25-year-backtest

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