I have been working on developing intraday trading strategies for some time. One thing I have always had to contend with is the problem of whipsaws in trend following strategies which generate too many trades and accumulate losses without the market having made any significant move either up or down. To improve the strategies I have often tried to define a filter which avoided certain trades. Where as using filters does reduce the number of trades it does not necessarily improve trade selection. One recent idea I have had is to use a Time Of Day (TOD) filter rather than a technical filter like an envelop or something similar. By TOD I mean restrict the trading to times of day which produce more reliable signals for the particular model in use. The assumption being that if one restricts the trading to the first two hours or the last two hours of the day perhaps there is less randomness in the market. Any opinions would be most welcomed.