Time "points" during a trading day
Hello all. Having traded for almost 6 months I noticed that there are some times during the trading day when the "internal behavior" of the e-mini (and Dow itself) changes. Some of those "time points" are obvious, for example: 11:15-11:30 (Euro markets close), 15:45 (end of day imbalance). But I also noticed that there are some internal changes on or around such times as 09:45; 10:15; 10:30 (pretty noticeable one). There are also other points in time, that sometimes are less "pronounced", but still noticeable enough: 12:30 (not always, but quite often); 13:30 (the same - not always), 14:30-15:00. During the last time frame the to the behavior may or may not occur, but if they did, they are quite slow compared with the time frames I operate with. So, here is the question: does anything happen regularly on or around these times (time frames) like massive closing of stop loss positions, etc.? Would greatly appreciate your comments. Thank you. Cheers!
i think its more a function of...certain market participants trade the open, some wait for some amount of time to see "what is the market doing today" before the place their trades...and that's different for everybody...also...economic releases come out at different times...public comments from various officials...etc...however, since we'll never really know exactly what is driving the change...the only thing we can do is recognize it when it happens, and adapt accordingly.
Thank you for the answer. I know about all those news releases @0830, @0915, @0945, @1000 and 1030. So I am not surprised to see that in 5 - 15 minutes after a release ppl start changing their trading goals. The issue for me is that even without any news (or tweets) there is a pretty noticeable pattern of "internals/microstructure change" around 1015-1030 time frame for example. This is why it is quite interesting to know what is behind such "self-organization of traders". Also I think that the first 15 minutes 0930-0945 is the time, when mutual funds position are being executed. Is this correct?
london is currently 5 hours ahead...10am is 3pm over there...then you have italy, france and germany that are even further ahead at 6 hours. There are enough large hedge funds and asset managers based out of those countries but trading US markets, that you will see them doing large trades in their afternoon, before liquidity dries up in their own markets.
and yes, there are funds that only trade the open and the close...you will find patterns come and go...try not to get too bent out of shape about it
Now with this explanation what is happening makes a "uuge" sense, as initially we have London/other EU capitals searching for liquidity before their markets close and then we have the same search in the US markets before close. Thank you! Cheers!
Speaking about patterns. Appreciate your comment, but have to say that my algos do not search to the "time patterns" rather for certain liquidity conditions. This is how I see those patterns :) The impact of "time patterns" is not quite predictable, while I plan to keep my success rate at 75%-85% and Sharpe ratio high. Cheers!
FYI...i've spoken with a bunch of multi-manager trading funds (the milleniums of the world) and since they trade such large size, their avg sharpe ratio is around 2. The tend to look for strategies that can make 20% return on 100mm, risking 5-10mm with 95% confidence interval. The issue with more high success rate strategies is that they don't scale well to large size. Just something to think about.
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