a*****e
发帖数: 1717 | 1 I chose ESH1 as an example, 23.25*60 = 1395 minutes per day. All values
should be times around $50 as implied dollar value.
I used one min bar data since 2011-01-01 till 2011-03-18 (settlement day),
Should have used roll over day of ESH1 cause it has huge liquidity since,
that should bring two extra weeks)
Most liquid minutes:
Time Value
15:59:00 1763905170.75 — this is most liquid one, no surprise, just
before daily settle
16:00:00 1710474733.25 — same reason, but last minute
09:30:00 943565554.00 — market open
16:14:00 742188255.00 — last minute before ES daily maintenance
10:00:00 694890048.75 — mostly economic data publish time
09:31:00 647635228.00 — second minute of market open
09:35:00 601045247.50 — first five minute bar ends
09:36:00 554397807.75 — one minute after, some player might wait one
min more
16:01:00 553717676.50 — some player might track the inefficiency one min
after close
09:40:00 553186493.25 — first ten min
some people mentioned 11:00am as most automatic trading system becomes
active that time, I really doubt, it’s 87th most liquid minute, really
insignificant.
Least liquid minutes:
Time Value
17:12:00 2439591.25
23:34:00 2391090.75
23:58:00 2309649.50
Still no surprise, middle night, and some time after a new trading cycle.
What does this imply? If you play momentum, there are some small time
windows offering best chance, market open, market close, and don’t try to
look for trend verse until 9:40am.
possible trends existed during 10:00:00 am, possibly 2:15:00 pm for rate
decision, and 8:30:00 am for mortgage applications/home sales etc. It
usually has long bar around economic data but less active before market open
. But there is usually no surprise for rate decision.
Market inefficiency talks itself mostly during these isolated most activity
minutes. If you trade in second, and see any reversal during that bar, it’s
very likely to follow the reversal in very short time. Better observe with
volumes.
If you are playing counter-trend, better look for it after those most liquid
minutes but try not to if trend is overwhelming.
Just my two cents. | w******s
发帖数: 16209 | 2 zan
【在 a*****e 的大作中提到】
: I chose ESH1 as an example, 23.25*60 = 1395 minutes per day. All values
: should be times around $50 as implied dollar value.
: I used one min bar data since 2011-01-01 till 2011-03-18 (settlement day),
: Should have used roll over day of ESH1 cause it has huge liquidity since,
: that should bring two extra weeks)
: Most liquid minutes:
: Time Value
: 15:59:00 1763905170.75 — this is most liquid one, no surprise, just
: before daily settle
: 16:00:00 1710474733.25 — same reason, but last minute
| g*****u
发帖数: 14294 | 3 What's your SR?
Excellent post!
【在 a*****e 的大作中提到】
: I chose ESH1 as an example, 23.25*60 = 1395 minutes per day. All values
: should be times around $50 as implied dollar value.
: I used one min bar data since 2011-01-01 till 2011-03-18 (settlement day),
: Should have used roll over day of ESH1 cause it has huge liquidity since,
: that should bring two extra weeks)
: Most liquid minutes:
: Time Value
: 15:59:00 1763905170.75 — this is most liquid one, no surprise, just
: before daily settle
: 16:00:00 1710474733.25 — same reason, but last minute
| b******r
发帖数: 16603 | | C*G
发帖数: 7495 | 5 我老也顶一下大牛，虽说没怎么看懂，唉--，四级不过害死人呀！
哭死哭死 | d********0
发帖数: 5142 | 6 我那天也想把future操作记录贴出来给大家看，不过我用鼠标四处画了半天也没找到能
给懒人用的。
死活copy不出来。 | c*******r
发帖数: 6971 | 7 抓屏
【在 d********0 的大作中提到】
: 我那天也想把future操作记录贴出来给大家看，不过我用鼠标四处画了半天也没找到能
: 给懒人用的。
: 死活copy不出来。
| a*****n
发帖数: 89 | 8 虽然小蝌蚪都知道 开盘青蛙跳 收盘MM笑
但是还是要赞用数据说话，赞学术精神，赞精确到分。
对于DT and/or BOT的确是好贴。。。
【在 a*****e 的大作中提到】
: I chose ESH1 as an example, 23.25*60 = 1395 minutes per day. All values
: should be times around $50 as implied dollar value.
: I used one min bar data since 2011-01-01 till 2011-03-18 (settlement day),
: Should have used roll over day of ESH1 cause it has huge liquidity since,
: that should bring two extra weeks)
: Most liquid minutes:
: Time Value
: 15:59:00 1763905170.75 — this is most liquid one, no surprise, just
: before daily settle
: 16:00:00 1710474733.25 — same reason, but last minute
| a*****n
发帖数: 89 | 9 Daylight saving time adjusted? 天朝股市开盘收盘时间影响如何？
【在 a*****e 的大作中提到】
: I chose ESH1 as an example, 23.25*60 = 1395 minutes per day. All values
: should be times around $50 as implied dollar value.
: I used one min bar data since 2011-01-01 till 2011-03-18 (settlement day),
: Should have used roll over day of ESH1 cause it has huge liquidity since,
: that should bring two extra weeks)
: Most liquid minutes:
: Time Value
: 15:59:00 1763905170.75 — this is most liquid one, no surprise, just
: before daily settle
: 16:00:00 1710474733.25 — same reason, but last minute
| a*****e
发帖数: 1717 | 10 I planned to write a series, this is just preparation for the following.
but I am not sure whether to post more. No one really cares.
【在 a*****n 的大作中提到】
: 虽然小蝌蚪都知道 开盘青蛙跳 收盘MM笑
: 但是还是要赞用数据说话，赞学术精神，赞精确到分。
: 对于DT and/or BOT的确是好贴。。。
| | | m*a
发帖数: 48 | 11 I care.Thanks for the post! Somehow I found the first 1-2 hours offered the
best trading opportunities. Reversals and pullbacks. But you got to act
extremely fast. The setups usually don't look that "perfect"but it can run
further and faster. And most of time the High and Low of the days are
settled in the AM session.
I try not to trade in PM session. Somehow my productivity is PM session is
disapointing.
Btw, I am still demoing and finetoning my method and rules..I trade 5 min
chart
Thanks for posting.
【在 a*****e 的大作中提到】
: I planned to write a series, this is just preparation for the following.
: but I am not sure whether to post more. No one really cares.
| w******s
发帖数: 16209 | 12 虽然占少数，但关心的人还是不少的。
有人不会appreciate，但也有很多人会的。
至少现在你还没被拍砖头。
【在 a*****e 的大作中提到】
: I planned to write a series, this is just preparation for the following.
: but I am not sure whether to post more. No one really cares.
| z****g
发帖数: 4616 | 13 非常感谢楼主的分享，非常富有科研精神，有你的带领，我们股版的FUTURE一族们必将
所向披靡。你可不能停啊！！！！
不过，以后能不能尝试用中文？ | k*******n
发帖数: 8891 | 14 谁给翻译翻译？俺赏包子！
【在 C*G 的大作中提到】
: 我老也顶一下大牛，虽说没怎么看懂，唉--，四级不过害死人呀！
: 哭死哭死
| f********n
发帖数: 1560 | 15 我很在意，这样的好帖在股版实在难得。给你发两个包子，作为鼓励。
【在 a*****e 的大作中提到】
: I planned to write a series, this is just preparation for the following.
: but I am not sure whether to post more. No one really cares.
| m***b
发帖数: 265 | |
|
