Intraday Pattern Strategy: Late morning weakness

Quantopian's community platform is shutting down. Please read this post for more information and download your code.

Back to Community

Intraday Pattern Strategy: Late morning weakness

posted

Using Data Momentum Seasonal Trends Research Visualization

Hello Quantopian Community,

goal of my research is to build a strategy/algorithm of another market imperfection, namely the "late morning weakness".
According to Admati, Anat and Paul Pfleiderer (1988) intraday pattern occur as a result of strategic behaviour. So what is the late morning weakness?

Research objective is to identify a situation in the morning around 10 am, when the market, after trending bullish at opening, diminishes it gains (coffee break hypothesis).

First i start to analyze the SPY from 2013/01 - 2015/11 using minute data. Briefly what i did is following:

creating a loop from 9:30 - 1 o clock and normalize the price path to 1.
Building average chart with top and bottom percentile lines
Volume analysis (profile by daytime)
Test for days

The main insight so far is that the effect occurs around 11:30 am on average. On Tuesdays there is a major decline around 11:30 am as well. The volume analysis implies a high volume at the beginning of the day.

Im glad to hear your response and many thanks to those who have good ideas :)

Further steps would be applying more filters and finding out under conditions under which the effect occurs. Its very interesting to do a backtest and see how it performs. Thank you for any Help!

Greetings, Emil

2 responses

This is my backtest so far. It open up a short position at 11:30 am every day and close position 30 minutes later. You can play around with days :)

According to my new research results there is a market anomaly at 10.44am until 11.05am. In this time period the algo goes short in SPY every day. On Mondays and Tuesdays the effect is the biggest. For further research it might be more profitable to exclude other days.

You've successfully submitted a support ticket.

Our support team will be in touch soon.

Need help? Contact support.

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

About Quantopian

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.