dusktrader,

This is interesting, I read your original work on using bitwise operations to optimise days of the week and was concerned about this very issue of the meaninglessness of adjacency.

I too have struggled to factor in day of week in my analysis, but my approach was to make separate algos for each day of the week, optimise their parameters separately to adjust for different ranges and allow opt f to weed out less profitable days.

I'd appreciate views on the best way to deal with day of the week effects.