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Intraday seasonality – 15 minutes anatomy of a day in the stock market (11:00 – 11:15)

December 5, 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: 11:00 – 11:15 AM EST.

The equity curve below shows a slightly bullish edge. Equity rises steadily at the beginning and then it goes down and up, up and down. This isn’t the idea setup for me.

If you had traded all those quarters of an hour at 11:00 AM EST blindly, going through wild moves, you would have earned about 6% going long 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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