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Each instrument has its specific times, when it can be traded, and also has its times, when trading does not pay off. The question is. how to determine the optimal trading times?
The main criterion is volatility. If volatility …
In which case lets use the first existing thread instead to prevent a split topic, and this one can be closed.
Interesting way of looking at things. Its interesting how strong the closing period was during the whole period, and how weak the 1:30 to 3:00 period was. There might be some relationships here that would be useful in building an intraday trading system.
Its not quite the same as the other intraday seasonality thread, though. That one was looking at volatility whereas the chart above is looking at directional movement.
As there is a starting point in 2003, it is cumulated 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.
