jpb Veteran   Posts: 168 Joined: 5/11/2005 Location: Brown Deer, WI  User Profile | I set up a simple test using ATM, Auto Trade, and 8 GXT Paper accounts. The basic process of this test is to set Auto Trade to run at different times of the day and submit orders immediately after it is done. So, this isn't running an EOD run after hours and then submitting orders at different times of the day, this is running an EOD run during market hours and placing orders that result from those runs. For this test I'm using 2 custom OmniScan lists. Both lists start with "All Optionable U.S. Stocks & ETFs", sorted descending by AVG(C*V, 10), selecting the top 300. The second list is the same but uses a different formula for the Sort value -- same starting population. These lists are then analyzed together in the To Do list using "All Lists in this profile". Port Sim is set to use All Analyzed Symbols as its source list. So, because of this, I would expect to see that there is a slight difference in symbols traded in the later part of the day than what might be traded at the beginning of the day. Times of the runs (all in Central Time): 0800 (This is intended to be a representation of an EOD run, finishing before 0830). 0900 1000 1100 1200 1300 1400 1430 (This is intended to be as close to MOC as possible, finishing within the last 10 minutes of the market). All runs are typically 20 - 25 minutes in duration. Data has the 20 minute delay of the OmniData EOD data feed. Each time period is run within a unique instance of OT in a unique VM (actually a linked clone off one base VM so that everything between the 8 VM's was identical). 7 of the 8 GXT paper accounts started with $10,000 with the exception of the 0800 account which I repurposed. As of this time, you can't reset the value of an account. Since I repurposed it, I needed to make an adjusting calculation in the spreadsheet to normalize it to a $10,000 beginning equity. There is also a quirk with the broker connection to the GXT paper accounts in that OT doesn't remember which account you were connected to like it does with the live GXT account. Nor does it remember that you were connected to the paper account the last time you used the profile. These two items mean that when you start OT each day or if you lose a network connection, the GXT paper account defaults back to the first one. I had one event over the 2 weeks where trades from a different time VM ended up in the 0800 account. I closed the trades and moved them over to the proper account, introducing an adjustment to the 0800 account. After a little more than 2 weeks of running, here's what things look like: From this short time period, I was surprised to see 1000 in the lead while 0900 bringing up the rear. 1400 still has a slight edge over 1430. I seem to be getting slightly better prices 30 minutes before market close than right at close. We'll see if a few more weeks of execution continues to prove this out. The focus here was impact on the ending equity if you traded at different times of the day and watching how an OmniScan list changes over the course of a day. The specific trades weren't interesting, but the symbols selected and ending equity is. The attached spreadsheet has the journal of events. It is interesting to see that 0800 and 0900 tend to act similar to what you might expect out of an EOD run. Not terribly shocking since the 0900 run has only 10 minutes of market activity to adjust its symbol list. However, when you start to get into the 1000 and 1100 runs, you begin to see trades that show up in the next day's 0800 & 0900 run. There certainly are a few phantoms that pop-up in one hour's run and trade that don't make it to the subsequent hour's. Finally, I forced all accounts to go flat on 1/25/19 about 5 minutes before the end of trading. This is simply because I'm headed on a 2 week vacation on Monday and want to be able to pick this up again when I get back. So, a question to the forum: Have you seen any studies performed that offer any insight into time of day trading for the EOD trader other than MOO or MOC? [Edited by jpb on 1/25/2019 4:10 PM]  Attached file : ToD-01-25-19.png (71KB - 929 downloads) Attached file : TradesByTimeOfDay.xlsx (27KB - 364 downloads) |
