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Current Intraday Seasonality
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Current Intraday Seasonality

  #1 (permalink)
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Current Intraday Seasonality

Here's a look at recent intra-day seasonality!

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Current Intraday Seasonality-spy-time-tranche-10-28-11.png  
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  #2 (permalink)
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  #3 (permalink)
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tigertrader View Post
Here's a look at recent intra-day seasonality!

Could you explain this any further?

I assume that the curves on the chart represent average values over a defined period.


Last edited by Fat Tails; October 28th, 2011 at 07:13 PM.
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  #4 (permalink)
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Isn't this the same topic as here:

https://futures.io/elite-circle/5242-intraday-seasonality-volatility-when-trade-when-not-trade.html

In which case lets use the first existing thread instead to prevent a split topic, and this one can be closed.

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  #5 (permalink)
Market Wizard
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Big Mike View Post
Isn't this the same topic as here:

https://futures.io/elite-circle/5242-intraday-seasonality-volatility-when-trade-when-not-trade.html

In which case lets use the first existing thread instead to prevent a split topic, and this one can be closed.

Mike

It is at least similar. The other thread was focused on volume and range analysis, not on the seasonality of price changes.

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  #6 (permalink)
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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.

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  #7 (permalink)
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Fat Tails View Post
Could you explain this any further?

I assume that the curves on the chart represent average values over a defined period.


Yes, intra-day data is collected over custom time intervals on a 15 min. and then superimposed on the daily.

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  #8 (permalink)
Market Wizard
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tigertrader View Post
Yes, intra-day data is collected over custom time intervals on a 15 min. and then superimposed on the daily.

Yes, but how many days do they use as a lookback period?

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  #9 (permalink)
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Fat Tails View Post
Yes, but how many days do they use as a lookback period?


Here it is on a longer time-frame courtesy of my friend, Bob English.

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  #10 (permalink)
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tigertrader View Post
Here it is on a longer time-frame courtesy of my friend, Bob English.

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.

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