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Intraday seasonality – 15 minutes anatomy of a day in the stock market

October 29, 2019

8-30

Where are the intraday stock market edges? When should a trader be long or short?

Well, those aren’t easy questions. Intraday seasonality does exist. You can have a look at an example study here. This analysis goes back to 1997 and stops at 2015.

Here I’m writing down a simpler approach: I’m splitting the the stock market session in 15 minutes different periods and see what’s happening with them. I have data back to 28 September 2009: last 10 years of data exactly. Intraday data are very difficult to handle, that’s why I’m focusing only on the last 10 years; there’s enought evidence on the study mentioned above of the other years more back in the past stock market behaviour. I’m backtesting the ES future market.

Let’s have a look at this quarter: 8:30 – 8:45 AM EST.

The equity curve below shows a mildly bearish edge. 

That’s an edge, nothing more. You cannot trade it alone, but whatever intraday systems you’re dealing with, it’s worth considering.

If you had traded all those quarters of an hour at 8:30 AM EST blindly, you would have lost about 8% on ES futures contract during the last 10 years.

8-30 8-45

I’ll be back soon with another intraday seasonality study,

Marco Simioni

Nightly Patterns

 

 

 

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