SPI - entering at 11am

[Bin57again]

Has anyone done any backtesting on entering SPI at 11am based on strength/weakness (i.e. go long if strong, go short if weak)?
Of course, it's money management whether the strategy's profitable or not but from the limited research I've done, it looks like:
1. strength into 11am is usually followed through
2. weakness into 11am is usually followed through
3. reversal (i.e. strength into weakness or vice-versa) is usually followed through.
Would anyone mind running this for me to see if it's statistically reliable?
Cheers...

 

[Trembling Hand]

Has anyone done any backtesting on entering SPI at 11am based on strength/weakness (i.e. go long if strong, go short if weak)?
Of course, it's money management whether the strategy's profitable or not but from the limited research I've done, it looks like:
1. strength into 11am is usually followed through
2. weakness into 11am is usually followed through
3. reversal (i.e. strength into weakness or vice-versa) is usually followed through.
Would anyone mind running this for me to see if it's statistically reliable?
Cheers...

How do you define strength/weakness into 11, pretty vague thing to be back testing?

 

[Bin57again]

Could be the close, could be a reversal signal, could be close in comparison to range, could be choice of candlesticks...
Same thing seems to happen in last 90 mins of trading...especially short covering

 

[julius]

the last 100 or so minutes of trading do tend to bring buyers into the market

not sure about the 11am deal though, it generally slows down quite a bit around lunch & becomes quite choppy

 

[roland]

I've been told before that the Institutional Fund Managers come in at 11:00 am, not sure it that is correct - but certainly the market does seem to change at that time.

 

[Trembling Hand]

11am is currently when Tokyo, Singapore and Korea and some others open. That is always going to push us around.

 

[Bin57again]

Could someone backtest whether a strong/weak lead into 11am is more likely to continue or reverse? As an objective example of strength/weakness, maybe just test where closing price is near to high/low of the range (until now, I've just used gut feel on eyeballing the candles (and you know how the eyes are error-prone compared to the good ol' backtester)?
I want to know whether the theory works better than a coin-flip. If it does, then adding in money management should make the system profitable...
Plus, I've seen in a number of examples that a follow-thru often occurs much further (similar to Frank Dilernia's concepts in his work on ATRs).
Bin

 

[Bin57again]

There's definitely something there...not sure what yet. But it rebounded off the low pivot level and the short cover occurred. If no one can help me do the backtest, I'll ask Kaveman...

 

[Pager]

There may be something there, other times to look at are 10am when the cash opens, also around 3pm can often see a move develop or accelerate into the close, also for a quickie look at around 4-10pm when the cash settles.

You need to get hold of tick data if you want to test it and if you find something 1) let me know and 2) trade it mechanically and everyday without fail.

Good luck

 

[Trembling Hand]

There's definitely something there......

If no one can help me do the backtest, I'll ask Kaveman...

Frame what you would like back tested and I will give it a go but, strength/weakness entering 11am is a little hard to put into a back test.

 

[korrupt_1]

It's common that fundies like to trade on the hour.

The times below are times that I've noticed much action on the SPI happening.
1030am
11am
2pm
3pm
340pm

I've noticed that around 2pm, there is a drive. This drive is usually in the direction that the 1030-11am drive is.

Also, around 3pm there is sometimes a counter move to the 2pm drive.

Some days you could almost set your clock to the 2pm drive. Why 2pm? Don't know... maybe the fundies come back from their lunch break, have a quick meeting on game plan for the rest of the arvo, then go execute that plan.

 

[Trembling Hand]

It's common that fundies like to trade on the hour.

Really? looks like pretty even volume to me

 

[Bin57again]

Yep, I find intraday patterns very interesting.
Trembling, thanks for your offer. Could you test where the close is at or near the high (go long on the open at 11am) or at/nr the low (go short). I just want the statistical reliability - don't bother with multiple positions or money management. I am figuring that if the percentage is better than 50/50 (remembering entry is the least important part) then any sensible position sizing and R:R ratio will create a profitable system. My bet (like many of these systems) is that 8 or 10 consec losers could cause a few jitters. Ideally, I'd like the back test to reveal a high probability (e.g. 65 percent at least)
Bin

 

[Trembling Hand]

It's common that fundies like to trade on the hour.

The more I think about this the more it worries me. Do you really believe that someone that swings a 200- 300 contract SPI position just whacks it on on the hour?? Seriously this is a very weird comment. I would luv a further explanation

Could you test where the close is at or near the high (go long on the open at 11am) or at/nr the low (go short).

Will try this over the weekend. Its been a long day and its now BEER O'clock

 

[julius]

you think the 'fundies' who do this for a living are that transparent?

bin give up on turning this into a mechanical system, its a temporary phenomenon that may have a particular cause or may be entirely random...this thread is probably a good indication it's just about over

 

[Bin57again]

Hi Julius
I see it as a positive either way...if the backtest reveals it's a coin-flip then that's a positive outcome in a sense. We've ascertained there's nothing there.
On the other hand, I think there is a rationale. Simply put, notwithstanding the volatility of the 1st hour, price ultimately moves in the stronger direction. See similar tests done on the US markets in Kaufmann around p.600.
The great thing about this, if it works out, is its simplicity and ease of execution.
One other thing - I'd be really interested if it has a high failure rate as well...that might equally be informative.
Bin

 

[korrupt_1]

The more I think about this the more it worries me. Do you really believe that someone that swings a 200- 300 contract SPI position just whacks it on on the hour?? Seriously this is a very weird comment. I would luv a further explanation

Hi TH,

Time and time again, I have noticed that biggish moves happens very near the hour (and half hour) marks. Sometimes a few minutes either sides as fundies try to catch others off guard.

Although I do not know for sure who is behind these orders, one can speculate it has to be a Fund Manager - as they are the only ones who have enough cash to move the SPI around like that.

Also, I doubt very much +200 contracts would be executed all at once (unless they want to manipulate the market to achieve a certain result, ie 'pump-and-dump'), that would just create a void in the market and automated trading computers will arbitrage the void away taking it back to 'value'. These 200+ contracts will be 'dribbed' into the system so that the market can absorb it... it could take awhile to execute it all as the computer will calculate the best economy at which to execute the order to maximise/minimise the return/loss.

The most noticeable 'hour' trade is the 2pm and 3pm period. Sometimes I wait for 5 minutes past the hour and check with a trend indicator to determine the trend then enter the trade. I've have blindly traded these hours in the past with overall profitable results.

But as for your question in clarifying 'on the hour' trades by a fundie,.. i can't say I know that is a fact... but I have noticed that it does happen enough to make me think it's not a coincident.

 

[Trembling Hand]

Hi TH,

Sometimes a few minutes either sides as fundies try to catch others off guard.

Although I do not know for sure who is behind these orders, one can speculate it has to be a Fund Manager - as they are the only ones who have enough cash to move the SPI around like that.

korrupt
I'm pretty sure that Fundies don't trade the SPI. Use it for hedging sure but Future traders trade the SPI. Prop, large retail & hedge. The moves around the Times you have noticed happen in all markets. They very often get in patterns that become mini-opens. Its not that 1 large player hits the market during 1 time its that *all* traders expect certain times to be important and that adds to the reactions and the quiet times before that action.

The fact that you have noticed it and now trade it confirms my point. You are now part of that catalyst for a reaction around that time.

You multiply by hundreds of other traders = Reaction.

 

[julius]

bin theres just no point, futures markets have strong follow through anyway, you may as well take your 50/50 bet, cut your losses or hold into close...

apologies if i was short before, i just think its a fools game trying to put a reason down for every move in the market...you'll end up with paralysis by analysis

 

[Bin57again]

Trembling - did you manage to do the backtest? If not, no worries...we can end this thread...If you did, I'd really be interested in the results...
Julius - yes, fair point. Good money management is the key of course. Problem with 50/50s is the drawdown and psychological cost. I'm sure you don't enter positions randomly...
Cheers Bin