When To Go Long: S&P Intraday Price 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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  • Mark says:

    I know you said you were looking to do a simple test here but I think there’s a wealth of information to be gained by discussing what was missing from this simple test. For example, I would want to see some sort of distribution by time of the results in case the tendencies here are more representative of 2005-7 than 2011-12. The challenge would be in how to operationally define or quantify that but it’s one detail that strikes me as very important.

    • Mark says:

      My thoughts exactly. Displaying it as one bar graph to cover so many years might not be meaningful. I’d like to see how consistent it is. Even though you aren’t trying to develop a system here, if the bulk of the profits came from one month to skew the whole sample then the bar graphs mean very little.

      • Hey Mark. I got some time this weekend to post the equity curves of the best performing sessions. I’ve updated the article with them.

  • steve says:

    Jeff, I am a budding system developer.

    I have to say, without a doubt, that most of what I have learned is from your trading blog.

    1) you don’t over-complicate your systems. They are intuitive and easy to understand.

    2) An earlier analysis of how to look at each variable by itself, and see if there is smooth curve as the variable values change, was specially valuable. I am already using that in my analysis, and hope you actually develop an article around that exact subject.

    Thanks again,
    keep up the GREAT work.

  • Cam says:

    Hi Jeff,

    “Here we see our best edge can be found in the pre-market hours during a bear market. Below is a graph that combines all our results into a single image”.

    Should be period 3, right?

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