S&P Intraday Price Study - Emini Index Futures Trading | futures io social day trading
futures io futures trading


S&P Intraday Price Study
Updated: Views / Replies:1,250 / 7
Created: by Jeff65 Attachments:5

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

S&P Intraday Price Study

  #1 (permalink)
 Vendor: www.systemtradersuccess.com 
Gurnee, IL
 
Futures Experience: Advanced
Platform: TradeStation
Broker/Data: TradeStation
Favorite Futures: Futures
 
Posts: 46 since Apr 2010
Thanks: 17 given, 92 received

S&P Intraday Price Study

In this post I would like to explore the intra day action of the market to determine if we can find an edge. I'm going to be using the S&P E-mini futures market, but the principals here could be applied to any market. In particular, I'm interested how different times of the day affect different trading strategies. The trading day, as defined by the U.S. open and close, for the S&P is seven and a half hours. That translates to 390 minutes. When can thus break the day up into three 130-minute periods. Lets also explore the times before and after the regular day session. To do this we can add a 130-minute period before the market open (Pre-Market) and a 130-minute period after the market closes (Post-Market). We have broken a trading day into the following periods:

Six Market Sessions
  1. Pre-Market, 06:20 - 08:30
  2. The Open, 08:30 to 10:40
  3. Midday, 10:40 to 13:50
  4. The Close, 13:50 to 15:00
  5. Post-Market, 15:00 to 17:10
  6. Trend Following and Mean Reversion

Now that we have these various times defined, I want to create a simple trading system to see if I can find an edge. The system should be very simple. I'm not looking to create a trading system but, I am attempting to locate clues as to what might work during a particular period. To keep this simple, I'm going to explore trades on the long side only and will be looking at the trading days between 1/1/2006 and 12/31/2011.

In general terms, we can attempt to trade the market with either a trend following type strategy, or a mean reverting strategy. Trend following implies the market is moving in a direction and we expect it to continue. On the other hand, a mean reverting strategy means we expect the market to reverse soon, thus we position trade opposite of the current market direction. To determine which type of trading strategy would work better during these time periods I'm going to create two simple entry methods.

For the trend following entry rule I will use the momentum calculation and open a long position if the momentum is above zero. For the mean reversion entry rule I will use a 9-period RSI and enter a long position when the value is below 25. The system will not have any stops. A single trade is entered and the position is closed at the end of the period. We are allowing only one trade per day. Slippage and commissions are not deducted.


Trending System Entry = 12-period Momentum is greater than 0
Mean Reversion System Entry = 12-period RSI < 25


Market Mode Filter

I often will make use of a market mode filter when I'm developing a trading system. This filter breaks the market into two distinct modes: bull or bear. We will use a 200-period simple moving average on a daily chart to determine if we are in a bull or bear market. A bear market is when price is below the 200-period moving average. A bull market is when price is above the moving average. Using this filter will limit our long trades to only be taken when price is trading above the 200-period moving average on a daily chart. In other words, we will be taking trades in the direction of the overall market trend.


Bull Market = price > 200-daily simple moving average


Testing Trend Following Characteristic

BULL MARKET: I created an EasyLanguage strategy to first test the trend following characteristics of the five different periods. Below is a bar graph representing the net profit for each period. Period 1 starts on the left-hand side through period 5 on the far right-hand side. What this shows is during a bull market there is an edge with momentum trading during the Midday period and The Close period. This seems contradictory to what many may think. According to these results, momentum trades don't seem to do well during the morning. Instead they do better during the lunch time and at the end of the day.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


BEAR MARKET: Lets switch things up a bit. Lets now only take long signals during a bear market. In other words, we will now only take our long trades when price is trading below the 200-day SMA. This is opposite of the test we just performed above. It is also counter to the prevailing major market trend. Below is a bar graph representing the net profit for each period. This makes a huge difference. During a bear market there seems to be and edge for momentum trades during the last minutes of the trading day. How many times have you seen price rally into the close during a bear market? I've seen it many times and this study shows it.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Both bull and bear market exhibit late day momentum bias to the up-side. This phenomena is even more pronounced during a bear market. Trying to build a trading system to exploit this edge may be worth investigating.

Testing Mean Reversion Characteristic

BULL MARKET: Now I will test using our mean-reversion trading system rules over the five different periods. Below is a bar graph representing the net profit for each period. The clear winner here is The Close period.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


BEAR MARKET: Now I will test using our mean-reversion trading system rules over the five different periods during a bear market. Below is a bar graph representing the net profit for each period. The clear winner here is the Pre-Market Period.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Here we see our best edge can be found in the pre-market hours during a bear market. Below is a graph that combines all our results into a single image.

Conclusions

The graph below may look a little confusing at first. Focus one the bars above the zero line. That's what we are interested in since they show the most net profit. Ask yourself, which bars are the largest?

If looking to create an intra-day trend following system there is one clear choice, locating an opportunity to go long during The Close period while within a bear market. It's seen as that large green bar during period four which almost hits $10,000. This conclusion seems counterintuitive but that's often the nature of the markets. For an intra-day mean-reversion strategy, a good place to start would be during the Pre-Market period while within a bear market. This can be seen with the large red bar during the first period. Also note how many bars are below the zero line. This suggests that shorting during the day may have a slight edge vs. going long.

Is it not strange the two largest edges for both mean reversion and trend following strategies are going long during a bear market? How odd is that! Yet, it's not so strange when you take into account other studies. In fact, this article's strange conclusion is also supported by a previous study that demonstrates much of the points gained in the S&P market over the past 10 years have occur during the overnight session. In other words, the up-side edge during the day session is not overly strong. It seems we are seeing this over-night affect within this study as well.

This is a rather simple study, but such studies can often point you in the right direction when gathering ideas on trading systems. Of course it is possible to discover a intra-day trend trading system that will do well. But this study is a great starting point on where to look for potential edges. In short we are asking, where might be the low hanging fruit?

This type of study can also be applied to any other instrument. Likewise, we only explored longs during this study. Adding a shorting study would also help build a more complete picture. Other ideas could include, using different indicators for our trend following and mean reversion trading systems. Likewise, it would also be important to vary the look-back period for our indicators. We used a 12-period-look back for both indicators. By testing a range of values, say between 6-14, we can demonstrate the robustness of the edge.

Reply With Quote
The following 11 users say Thank You to Jeff65 for this post:
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Elite Member
Louisville, KY
 
Futures Experience: None
Platform: eSignal
Broker/Data: RCG eSignal charts and data
Favorite Futures: NQ, ES
 
Posts: 12 since Aug 2011
Thanks: 2 given, 10 received


My feeble mind see's 3 of 4 graphs with more losing dollars than winning dollars, so this is certainly not for me. Besides it is far too complicated for a KISS method scalper like myself.

However, from my point of view, I have noticed that the ES and NQ tend to have turning points at somewhere near 10 AM, 12:30 AM and 3 PM most every day and perhaps it would be helpful to factor these into your system, at least for a bit of testing, eh?

Reply With Quote
 
  #4 (permalink)
Market Wizard
Las Vegas, NV
 
Futures Experience: Advanced
Platform: Abacus, Slide Rule, HP-65, Metastock, TOS, NT
Favorite Futures: Futures
 
aligator's Avatar
 
Posts: 3,424 since Aug 2010
Thanks: 1,053 given, 5,822 received
Forum Reputation: Legendary


eddwfo View Post
My feeble mind see's 3 of 4 graphs with more losing dollars than winning dollars, so this is certainly not for me. Besides it is far too complicated for a KISS method scalper like myself.

However, from my point of view, I have noticed that the ES and NQ tend to have turning points at somewhere near 10 AM, 12:30 AM and 3 PM most every day and perhaps it would be helpful to factor these into your system, at least for a bit of testing, eh?

Like the man said; even for scalping you need an edge. Dividing the day in periods is a good start. It takes a blind trader not to notice that most of the moves these days occur during the overnight pre-market session (unless there are major major news during the day).

Reply With Quote
 
  #5 (permalink)
Elite Member
Quebec
 
Futures Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
Broker/Data: Stage 5 trading/AMP/CQG
Favorite Futures: ES, NQ, YM
 
trendisyourfriend's Avatar
 
Posts: 3,698 since Oct 2009
Thanks: 3,042 given, 4,498 received

Jeff65,

If i had to give a score for the quality of your post, i would give it a nice 10/10. Very well presented and with enough details to inspire anyone to work along similar lines. This type of comment is rare unfortunately but this is exactly what is needed, i.e., you do not try to teach or propose an approach to trade but instead you focus on the process to make us think by ourselve. Thanks.

Reply With Quote
 
  #6 (permalink)
Market Wizard
Columbus, OH
 
Futures Experience: None
Platform: NT 8, TOS
Favorite Futures: ES
 
Silvester17's Avatar
 
Posts: 3,332 since Aug 2009
Thanks: 4,579 given, 10,313 received


Jeff65 View Post
The trading day, as defined by the U.S. open and close, for the S&P is seven and a half hours. That translates to 390 minutes.


I can give it only a 9/10.

Reply With Quote
The following 2 users say Thank You to Silvester17 for this post:
 
  #7 (permalink)
Elite Member
Williamsburg, VA
 
Futures Experience: Intermediate
Platform: ThinkorSwim
Favorite Futures: Stocks
 
worldwary's Avatar
 
Posts: 523 since Mar 2010
Thanks: 259 given, 788 received

This is a good example of the thought process that should go into developing a trading system. Start with a broad concept, run some tests, and then use the results to drill down to specifics.

-----------------------------------------------------

"If you must forecast, forecast often."

-- Edgar Fiedler
Reply With Quote
 
  #8 (permalink)
Elite Member
Philly, Pa
 
Futures Experience: Master
Platform: NinjaTrader
Favorite Futures: ES, ZB
 
tigertrader's Avatar
 
Posts: 5,948 since Jul 2010
Thanks: 6,314 given, 31,870 received

Liquidty profiles are in a constant state of flux along with time profiles and seasonality. Notice the change from chart 1 to chart 2. So they need to be updated regularly. Just because a pattern exists today, does not mean , it will exist tomorrow. Nevertheless, I have been playing the probabilities for quite a while now.

Attached Thumbnails
S&amp;P Intraday Price Study-spy-time-tranche-10-28-11.png   S&amp;P Intraday Price Study-spy-time-day-1-13-12.png   S&amp;P Intraday Price Study-monday-wed-fri.png   S&amp;P Intraday Price Study-annual-average-cumulative-111.png   S&amp;P Intraday Price Study-spy-intraday-return-relationships.png  

Last edited by tigertrader; January 21st, 2012 at 09:14 PM.
Reply With Quote

Reply



futures io > > > > S&P Intraday Price Study

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Convert mouse x/y location to Time & Price YuvalW NinjaTrader Programming 8 October 26th, 2014 12:11 PM
Who can explain the settlement price of the large S&P on Tuesday? Fat Tails Emini Index Futures Trading 15 September 2nd, 2010 12:36 PM
Draw on both Price & Indicator Panel NT7? Wessel NinjaTrader Programming 12 July 15th, 2010 09:41 AM
EasyLanguage Price Action PaintBar Study Big Mike EasyLanguage Programming 5 April 18th, 2010 01:28 AM
Price & Volume Trading Journal ZTR Trading Journals 117 February 21st, 2010 04:02 AM


All times are GMT -4. The time now is 01:19 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-18 in 0.14 seconds with 20 queries on phoenix via your IP 54.92.201.232