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10.30 - 11.30 am ES projection


Has anyone done any research on times of day that portend a significantly higher chance of follow through in a RTH session?
For example, from the last twenty E-Mini sessions, if the close at 11.30 am was higher than the close at 10.30 am then
there's a 66% chance that the days close ends higher (and vice versa for sells)
If you throw in a nominal 5 point stop and hold till end of day then the average profit is approx 5 pts against an average loss of 3.25 points.
Would be interested in opinions. Am I sniffing up a blind alley?
TIA
maybe a better way of looking at the trading day is to understand the various economic news events that may be scheduled for release some events move the market lots i.e. (job numbers or fomc) others may not have a large impact i.e. (consumer credit)

the 1130 time frame you referenced is when some european markets are closing which tends to pull/push the US markets.....

havent done much work on probabilities strictly on time of day

just some thoughts.......
A few years back I did some back testing on ideas like this and I found that for short periods of time (6 to 18 months) there would be a pattern and small advantage that would show up but when you ran it over many years of data it always averaged out to a zero net gain/loss. i.e. the relationship of an earlier price to a later price during the day had no predictive value on where the price would subsequently move and you could just as well flip a coin.
Originally posted by day trading

A few years back I did some back testing on ideas like this and I found that for short periods of time (6 to 18 months) there would be a pattern and small advantage that would show up but when you ran it over many years of data it always averaged out to a zero net gain/loss. i.e. the relationship of an earlier price to a later price during the day had no predictive value on where the price would subsequently move and you could just as well flip a coin.



Yes, that is what I feared. The human mind is an obsessive pattern making machine - at least mine is;-) Perhaps the order that we all seek is not there or * not where we think it is. Thanks for your response.
* Maybe coming to terms with ambiguity is where its at.
Actually, to predict what is going to happen at 10 to 11:30am, you should take a look at the EU session from its opening time (4:15am). Price tends to make sessions high/low at the start and/or end of the sessions. Looking at the whole day, you get more or less random results.

I think Linda was talking about this at a seminar some time ago, see https://www.lbrgroup.com/index.asp?page=DefaultPage