Calendar effects are interesting because they're market inefficiencies that shouldn't exist in efficient markets. Some would say there are no seasonal effects and that the results are just from data mining.The Monday effect pictured here is a very significant result that's not likely caused by data mining. Companies, as well as politicians, do regularly release bad news on Fridays when the markets are closed. When markets are re-opened on Monday, the markets negatively react to these news. This relationship makes a lot of sense.
What doesn't really help is the edge from the Monday effect is only about .1%. Trading fees vary generally with accounts, but it's safe to say that most people will have fees between .1% to 1.0%. It's unlikely that anybody can make a fortune off of this pattern and it might not even apply anymore. The trick is to combine multiple seasonal effects, plus any other 'edge', and not to focus on large efficient markets like the DJIA. Perhaps I've said too much.
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