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Intraday seasonality – 15 minutes anatomy of a day in the stock market (9:00 – 9:15)

November 7, 2019

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 the previous quarter of an hour here.

Now, 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.

I’m backtesting the ES future market.

Let’s have a look at this quarter: 9:00 – 9:15 AM EST.

The equity curve below shows a mildly mixed edge. The chart shows a strong bearish trend during the first 4 years and a strong bearish trend during the last 6 years. What does it mean? Well, stock markets regimes change over time. They can last for many years, forever, or change quickly to the opposite direction. The change is not easy to detect. Should we bet long? Well, the second bullish trend looks to be solid enough…

If you had traded all those quarters of an hour at 9:00 AM EST blindly, you would have been at break-even on ES futures contract, during the last 10 years.

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

Marco Simioni

Nightly Patterns




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