The thesis of this article is that with the increased volume you have an algo driven "pump up" during the last minutes of the day.

According to the data I have that is not the case.

Since 1 Jan 2012 closing the trade at 1600 you can see the results below:

Buy at 1520 49% up 0 pts t -42

           1530 48% up -0.1 pts t -120

           1540 46% up -0.2 pts t -270

           1550 45% up -0.1 pts t -208

There might be other edges around the close. This is due to the index funds managing their positions and day-traders closing their trades. In some case this might create inefficiencies that a small speculator can exploit to make a decent living. Good for those who can find them. But for sure it is not what zerohedge brags about from time to time. 





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1 Comment so far

  1. Andre Wallin on May 29, 2015 5:52 pm

    Have noticed that if one is anticipating a move near end of day and it hasn’t happened by 4est it will more likely happen by 4:15.

    Also, two inside days on SPs have only happened 6 times in last decade and 5 out of the 6 times has led to lower lows and lower highs for the week following. The one time it didn’t we were near market lows so maybe it indicates a pause in market direction. Now how do I test if this is in line with randomness?


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