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Strategies & Market Trends : The Final Frontier - Online Remote Trading

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To: TFF who wrote (3160)	2/24/1998 8:04:00 PM
From: Eric P	Read Replies (2) of 12617

I have recently come across an interesting finding while backtesting various daytrading systems that I would like to share. During the past several weeks, I have been backtesting various daytrading methods using 3+ weeks of Level II data. I have tested >1000 different variations of different systems and have found that one of the most important parameters from my studies is the time of day that the trade is initiated. The average profit per trade is greatly improved by restricting trading to entry times of 1-3 pm EST. This seems to make sense to me: 1) Trading from 9:30 -11:00 may be more volatile, but less predictable 2) Trade from 11-1? Lunchtime. Less movement (?) 3) Trends beginning from 1-3 seem to be more 'real', less false signals 4) From 3-4, ??? I've got no guess why this time is less profitable. Several disclaimers... I tested using long positions only. These results were with only 3-4 weeks of data and need to be validated with a longer data set. Bottom line: Needs more testing to confirm. Has anyone else noticed improved results while trading during certain times of the day? Post back your experiences or e-mail me. Happy Trading! -Eric ericpatterson@erols.com

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