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using quant statistical analysis in their algo, ie. best time of day, month to buy/sell.

(Last Updated On: February 28, 2012)

Anyone using quant statistical analysis in their algo, ie. best time of day, month to buy/sell. We’ve all heard “Sell in May and go away!”. Any data out there which is used, or is this a wasted topic?

 

We incorporate similar anomalies. One good example is called “halloween effect”.

 

Anything on best time of day for entry/exit points?

 

experimented with a simple 10 yr backtesting for best hour to buy (close at next hour > current hour) yeilds 1-2 PM and best hour to short (Close of next hour< current hour) yeilds 9-10 AM. Dunno if i can factor it into any trading strategy.

 

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. I will attempt to test in my strategy and provide results, if I uncover anything of interest.

 

We often trade in the last few minutes of the day, but only because we want our actual trades to capture that day’s closing price as closely as possible. We’ve experienced robust volume and very fast execution on all of our positions (exclusievely ETFs).

 

I understand from personal analysis on the S&P 500 over the last 30 years that the market closes just over 50% positive. Something like 50.5% to 51%. I believe this illustrates that the market is “statistically” a true 50/50 shot on any given day. However, I also believe this number is positively weighted because of the absence of de-listed stocks in the data. I was wondering if any other data like this out there exists.

 

 

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