Intraday Seasonality

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  • February 18, 2014 at 7:38 pm #205769
    MidKnight
    Member

    Hi there,

    I’m a pretty slow learner so its no surprise that its taken me 9 years into my trading profession to finally notice this and apply it to my trading. A large problem with my day trading was that my targets were generally looking for “the move of the day”. On HSI, most of the days range and often the entire days range is done within the first 45-60mins of the day. Because the futures open 15min prior to the stocks, that means the full day range can be done in just 30mins after the stocks have opened. I needed a mental framework to map out the typical intraday volatility cycles. By applying several relative range indicators (measures the average range by time of day) on a 5min chart set to 20 day avg, 60 day avg, 120 day avg it highlighted when the volatility is normally there and the clustering of it. Seeing this regularity, I have now adjusted my targets under different normal cycles and it has made a huge difference to my profitability.

    I wonder if others apply something similar or perhaps have a better way to measure and asses this or even forecast the near futures likelihood to adhere to the norm.

    With kind regards,
    MK

    February 20, 2014 at 11:35 pm #206358
    melvyn
    Participant

    Hi MidKnight,

    Interesting stuff you are sharing… any chance by way of chart to show what you mean? 9 years is a great time I hope for you, it should more than adequately covers the 10k hours mark which perhaps explains your magically noticing and correcting what you seem odd and finally with great results ! Congrats !

    In terms of years I fall behind you, when LC enhances the chat-room forums for discussion in time to come, I hope to scaffold my learning from you. I too notice something similar in the index I trade… we can take it further…

    Cheers,
    mel

    March 5, 2014 at 12:15 am #206362
    MidKnight
    Member

    Hi Mel,

    I don’t know about 9 years of trading being a great time – I looked in the mirror and got back something different than I thought. Its been the hardest 9 years of my life….

    What I did is nothing overly fancy. Plot a relative range indicator over a variety of different days, in this example I’m plotting the 20, 60, 120 day averages. Note the consistency in bar range by time of day across each of the averages. If one zooms in a bit, you can see the typical natural and fairly consistent range cycles within a normal day.

    Maybe others here have conducted similar studies with other tools that they would like to share.

    With kind regards,
    MK

    EDIT: I tried to attach a 55kb png file and it said it exceeded the upload size.

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