Without revealing more than I'd like to, I can say that your summary is relatively close to what I did. I had expectations as to what holding period would work best (e.g. the likelihood of trading with an informed/uninformed trader varies under certain special conditions with the time of the day) and what time points would work best. I looked at the data and found it to be correct. There's a danger to going the opposite route and just asking the market to tell you what times are best as you are more prone to find random patterns that are not stable. Going into it with a reasonable explanation for why it would happen helps insure that if you do find it, it's really there. I also agree on the psychological benefits. Another useful side effect is the ease with which this approach can be automated.
Yes, this helps quite a bit. Do the time windows ever change based on new data? This is one of the challenges I see with trading by appointment - the potential need to create "rolling windows" that accurately reflect what's going on as the market proceeds through time...while remaining in tune with the historical background behind the method.
I appreciate your input, thanks for chipping in. Still not really clear on the approach you're taking, but it's interesting. Similar to the question I asked Vlad - are your bar counts "rolling" based on certain other conditions? For example, would you use a 12-count one day, and a 10-count the next...and do you feel you need to be at the computer all day? One of the concepts I liked so much about Quah's method was, you could walk away and then come back later without having to have a feel for what's going on.
Not really. At least not so far. As long as the underlying forces that made me look at these windows remain in place, I don't see why I would shift them. I'll PM you in a sec. V.
It is a bar count. Nothing more, nothing less. There are no fixed numbers. I wouldn't dare get up from my computer more than 2 or 3 minutes at a time - just enough to relieve one's self or get a quick bite to eat.
amateurs! when I got serious about trading, I had the plumber come in and set up my trading room, beats the heck out of those dehydration shots I use to have to take each morning.
The first 2 hours are the best time to trade IMHO. Often I have the feeling there are some guys somewhere on a trading floor who need to trigger a program at a particular time. Like say: uh it's 11:30 time to buy 50 millions worth of stocks! I guess it's like in any other job they and their institutional customers get certain habits .
I prefer 'premarket'-11.30 and 2.00-'after hours'... the middle of the day generally sucks for me so I tend to take it off...