Interesting posts about time of day results. One of the reasons we began this particular forum was to share results from a variety of markets, and to share research discoveries using our trade tool, the UTA. There are so many markets, timeframes, trade approaches etc., and it seemed that we'd be able to cover a lot more ground collectively, and thus benefit from everyone's findings collectively, as well. This forum is supposed to be educational and a place for us all to learn from one another. The UTA is such a new tool that we felt a forum like this would be very useful for those learning how to use it. It is not a trade strategy (to reiterate) but a tool to use for analyzing one's strategy and trade results.
I have posted many crude oil trades into a UTA spreadsheet and have found a similar dynamic as Steve's findings. For example, from 9 am to 9:15, my win rate was a strong 68.25%. But check out the following 15 minutes, 9:15 am to 9:30. All set-ups that occurred during that time with my particular strategy had a 95% win rate, whereas the following 30 minutes the win rate dropped down to about 60%. I've posted some of my UTA time of day results below. I think that Steve brings up an interesting question regarding time of day results AND knowing when to stop.
I'm on the West Coast so I'm not interested in pre-NYmarket trades. I gotta sleep a little bit, no? I like a tight tradeplan that enables me to quit as early as possible too, though. For my emini trading, I begin at the NY open and take the trades that my system spits out. If I hit two winners AND a positive result, that is my dynamic stop goal (but I do need at least one of my winners to be a full target, not a parital). It allows me to take what the market wants to give me while quitting positive on most sessions. I couple that with a hard stopping time where if I am not yet positive, I'm not taking new set-ups. So for the Russell emini for example, that hard stop time would be 12 noon, exchange time.
Other dynamic quitting goals could be even more effective, depending on your system and available time to trade. I have found for example, with the same Russell strategy I use, that quitting after 3 winners and a positive result (also requiring that one of those winners is a full target and not just a managed partial target) has been far more profitable over time BUT, you may need to trade into the pm session and it does require a longer daily time commitment. Today, for example, I had two winners (one small partial and one full winner) and could have been done within the first 17 minutes and a very nice result. Forcing the 3rd winner would have resulted in a losing trade but then would have caught a very nice 8 point winner on trade #4. On other sessions trade number 4 may have been another loss, giving back the first two gains, and forcing another trade. There's always a trade-off with every trade decision.
The important thing is to establish a tradeplan that gives you an edge in the market over time, and then trade that plan. The UTA is a tool designed to help you find that edge by extracting the details out of your raw trade data, like the time of day study on the set of crude trades, shown below.
05-17-2010, 12:06 PM
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