Seasonality S&P Market Session

In a recent article, Seasonality Study, I took a look at the classic seasonality effect as seen in the U.S. markets. Briefly recapping that article, it shows that the trading days between November through May appear to hold significant gains in the market while the trading days between June and October hold far less profit. In this article I would like to test the market’s intra-day behavior based upon seasonality. This idea came upon me as a reader privately emailed me.

We are all aware that different sessions exist for any market. For example, when dealing with the emini S&P we have a pre-market session, the morning session, lunch time session, and an afternoon session. Often you can see distinct characteristics within each session. To test for any seasonality impact on these sessions, I’ll be using an existing tool, I originally created the article, “Step One In Building An Intraday Trading System“. In this article I use a tool called “Session Test” which allows me to test various intra-day sessions. Using TradeStation’s optimizer I can test my idea across different combinations of sessions and discover how the key concept holds up across each session. Here are the basic sessions:
  1. “Pre-Market” Between 530 and 830
  2. “Open” Between 830 and 900
  3. “Morning” Between 900 though 1130
  4. “Lunch” Between 1130 and 1315
  5. “Afternoon” Between 1315 and 1400
  6. “Close” Between 1400 and 1515
  7. “Post-Market” Between 1515 and 1800
  8. “Night” Between 1800 and 530
During this test the strategy will simply buy at the open of the session and close that trade at the conclusion of the session. This mirrors the traditional seasonality study where a trade is opened at the beginning of the season and closed several months later when the season comes to an end.
To test each session I’ll use TradeStation’s optimizer to iterate over each of the sessions. In doing so TradeStation will systematically open and close a trade for each market session and record the trading results. After all the sessions have been generated I can display a bar graph representing the P&L for each session along with an equity graph.
During my testing a single contract of the Emini will be traded. There are no stops and both slippage/commissions are not included in the results. The test will be over the dates from 1997 to October 31, 2015. The free EasyLanguage code used during this study can be downloaded at the very bottom of this article.
Below is the Net Profit graph for each of the eight sessions tested during the “Bullish” season which is from November through May.

Bullish Season

Clearly session #8 is out best performer. This session is defined as our “Night” session from 18:00 to 5:30. This really should come as no surprise as there have been other studies which show many gains in the S&P market occur in the overnight session.
Below is the test executed over the “Bearish” season which include the months of June through October.

Bearish Season

Once again session #8 is king. However, notice this session makes less money as apposed to the “Bull” season. Yet, session #5 makes slightly more money. Looking at the other sessions, many of them end up deep into negative territory which is different than the “Bull” season. This does make sense as the “Bullish” season does appear to have a more bullish edge.
Below is the equity graphs for each of the sessions.

Session #1 Pre-market

Bull Season


Bear Season



Session #2 Open

Bull Season


Bear Season


Session #3 Morning

Bull Season


Bear Season


Session #4 Lunch

Bull Season


Bear Season


Session #5 Afternoon

Bull Season


Bear Season


Session #6 Close

Bull Season


Bear Season


Session #7 Post-Market

Bull Season

GoLong_Session_7 - Seasonality S&P Market Session

Bear Season

Sell_Session_7 - Seasonality S&P Market Session

Session #8 Night

Bull Season

GoLong_Session_8 - Seasonality S&P Market Session

Bear Season

Sell_Session_8- Seasonality S&P Market Session

That’s a lot of graphs! The most obvious conclusion is the overnight session really does seem to hold a bullish tendency. This bullish tendency still holds during the “Bear” season, but it does appear to be reduced. Some of the other sessions appear to hold some promises as well. Those would include the “Afternoon” and “Close” sessions. The “Afternoon” session during a “Bull” season appears to be very strong since the financial panic of 2008.
Top Two Bullish Sessions
  1. Overnight Session during a Bull Season
  2. Afternoon Session during a Bull Season


Below is the free EasyLanguage code used for this study.

About the Author Jeff Swanson

Jeff is the founder of System Trader Success - a website and mission to empowering the retail trader with the proper knowledge and tools to become a profitable trader the world of quantitative/automated trading.

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  • Great analysis Jeff! And surprising results!
    In the bearish season, It would be interesting to see if after 8 up we have a down 1 or up 1. The same if 8 is down, If there is or not any correlation between the two time windows.

  • Matt says:

    Nanex has done a lot of work on this too.

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