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What should be clear is that a skill essential to trading success is early identification of regime change: those occasions when the cycles are shifting and the distributions of price changes are significantly varying from their recent norms. The only way we know if a regime has changed is by seeing an actual shift in the distribution of price changes. The fundamental uncertainty of trading is highest in daytrading the stock market —particularly index futures such as the SP/ES and ND/NQ. This is because markets are nonstationary on an intraday basis—almost without fail. Interestingly, markets exhibit greater stationarity from day to day and week to week than from hour to hour - Brent Steenbarger
From the long term chart we can gain a historical perspective of recent regime changes during various phases of the market, i.e., 2003-2007 bull market, 2007-2009 crash, and the liquidity induced rally from March 2009 - present.
If we look at the period beginning beginning Oct. 4, 2011, we have glimpse of the current regime's intra-day price distribution, which show a tendency for the large players to run futures up toward the end of the ETH session, then sell it off in the early part of the RTH session, only to ramp up prices in the last hour of trade. This is in contrast to the 2003-2007 bull regime, which saw the gap and IB consistently trend higher, while the final hour did not.
I am concerned about a split topic. So I am asking you and tigertrader, as the authors of both threads, should they be combined or are they two different subjects? Both threads contain "Intraday seasonality" in the thread title, which means it is confusing to have two separate topics if they are both not the same subject.
I think we can keep the respective discussions segregated, because FT's original thread pertains to volatility and this tread makes reference to the directional non-stationarity of price distributions.
Obviously this is only possible way for comparision , i mean a smaller window periods ( as in your most recent chart of Aug - Oct ) with a larger window periods like 2003-07 or higher, but is not results are always going to change with small window periods. How it can be thought of optimal selection of small window period for comparision to larger one. convergences of curves in smaller window chart hints starting point somewhere around Aug start or july end...if i select a littile larger small window periods say from May ( that would be consistent in gauging stationarity change if any for recently adopted intraday system to trade ) , for comparing with such large window period then its most probably might give different outcome.
Yes, you are echoing FT's thought's on the subject.
As there is a starting point in 2003, it is accumulated over 8 years. This information is not very useful, as it does not show the trend in recent years. It would make much more sense
- to take a rolling period of 100 days to look how the directional movement of each segment play out
- or take a rolling period of 1 year and make an analysis for each day of the week
I think that this can easily be achieved with a small indicator.
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