A research paper from the American Economic Association. " HIGH FREQUENCY TRADING AND END - OF -DAY MANIPULATION " Q https://www.aeaweb.org/aea/2013conference/program/retrieve.php?pdfid=12 EOD price case by looking at the price change between the last trade price (P t ) 3 and last available trade price 15 minutes before the continuous trading period ends (P t-15) . A price movement is abnormal if it is four standard deviations away from the mean abnormal price change during the past 100 trading days benchmarking period. UQ
ES; Entry MoO; Loss-stop 5 pts; Exit MoC. Last 4 trades P/L: -2 pts. Trade 5, Monday, 22 Jun, 2015. Short.
Done enough trades, but not good enough performance! Bye for now! Obviously Romik can do much better. http://www.elitetrader.com/et/index.php?threads/es-journal-2015.288816/page-370