Time of Day Bias for ES

Discussion in 'Index Futures' started by martys, Jan 11, 2006.

  1. martys

    martys

    1-18-2006 reversal (2 pt) review : S for setup; T for trend

    10:22 S T
    1:42 S T
    2:31 S
    2:51 T


    Tally: #days = 11

    Time #Reversals #Setups #Trends
    9:30 3 1 1
    9:45 2 0 0
    10:00 7 3 2
    10:15 4 2 2
    10:30 6 3 0
    10:45 6 5 1
    11:00 6 2 2
    11:15 3 1 2
    11:30 3 0 1
    11:45 2 2 1
    12:00 3 1 1
    12:15 2 1 0
    12:30 1 0 0
    12:45 4 2 0
    1:00 1 0 0
    1:15 3 2 2
    1:30 4 1 2
    1:45 2 1 1
    2:00 2 1 1
    2:15 4 2 2
    2:30 3 2 0
    2:45 5 3 4
    3:00 2 1 0
    3:15 1 0 0
    3:30 1 0 0
    3:45 2 1 0
    4:00 1 0 0
     
    #51     Jan 18, 2006
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  2. volente_00

    volente_00

    #52     Jan 18, 2006
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  3. martys

    martys

    I think I will stop most posting activities because I have taken on more responsibilities. First, I have only been trading ES for less than 2 years so I am no expert...

    How are these numbers gonna help? There are 27 time buckets intraday for my studies. I assign reversals (2 pt plus bid-ask spread or more) to the closest time buckets. So far 83 reversals for the past 11 days. 83 reversals divided by 27 time buckets = 3.07 reversal per bucket are expected if the reversals are distributed equally (no bias) over the time slots. The period after the opening range (10 - 11 am) shows about 2x the average bias for reversals. The period after 3:00 pm exhibits low distribution of reversals so the advice given by Linda Raschke on not to fade the late move and that Mark Cook (a reversal trader) doesn't trade the last hour are all sensible. If I am losing money after 10-11am period, I would stop trading for the day because the probability for reversals will decrease to average or below average for most time periods after that. I hope this study will help structure your business to decrease risk and suffering. There is no reason for a big losing day unless we let it happen.

    I would like to see smiliar studies done for other types of trades such as pullback and breakout. Please let me know. :p

    Thanks and good trading to all.
     
    #53     Jan 19, 2006
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  4. murray t turtle

    murray t turtle

    ===================

    Thanks guy2

    a]That confirms perhaps understates something noticed for some time;
    notable difference between am/pm session. And partly due to the leverage[, so moves are magnified [like 2 edged sword % gain /losses] .Like confirmation of for example least % flat =1st half hour , all contracts .

    z]And something the 1st poster mentioned about last half hour -mostly random;
    good time for me not to open any contracts at all. However last half hour =good time to enter swing/position trade in underlying stocks.
    :cool:

    Also used your periods 2004 +1996-2004.:cool:
     
    #54     Feb 12, 2006
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