S&P500 – General Intraday Study

Have arbitrarily chosen 1 minute and 30 second bar for studying the range (high – low) and also studying the mean close to close change per time of day.

I follow this procedure:

1. Calculate High – Low to find the bar range
2. Calculate the Close to Close differences for each bar
3. Group all by time of day
4. Mean for each time of day for the range and close to close differences
5. Plot

If we look at 1 minute range bars first:

Rplot150
Mean High-Low Group By Time 1 Minute Bars – 1998  To present (10.13.2017). Due to image size. Right click and download and zoom around to see the image

What is prominent, if we classify volatility as a range extension. we see that range expands in the am and contracts mid day and again increases post 1300.

We also see notable uptick in range at the (first/Last) 830am /1500  bar and also the 900 and 1300 bar Central Time. I believe the 9am uptick may invite more buyers after waiting for the first 30 minutes to pass to see what directions trades will place their bets.

Post 1300 hours we see the range increase to market closing.

The highest one range bars are the first and last bar and the bars in the morning specifically the 9am bar.

We also see prominently that at every 30 minute intervals, on and half past the hour we see an uptick in the range. This is true for every 10 minute intervals also.

If we take the mean close to close change per time of day:

Rplot156.png
Mean Close to Close Difference 1 Min Bars – April 2017 To Present

We see the the first 4 minutes of the open tend have a mean positive bias and the closing 15 minutes tend to show a slightly negative bias.

If we dig into the 30 second bars looking first at the range:

Rplot153
Mean High-Low Group By Time 30 Second Bars – April 2017 to Present

We see the same theme. First and last bars have the highest range. Again we see range decline into the 9am before an uptick of range. Range declines into the lunch hours and at 1300 we see an uptick in range before steadily increasing to the market close. We also see the increase of range on every hour and half hour intervals (top and bottom of the hour).

If we view the mean close to close difference by time:

Rplot154
Mean Close to Close Difference 30 Second Bars – April 2017 To Present

We see that the first 30 second bar has a notable positive bias. The other bars do not offer much statistical significance.

Rplot157
Mean High-Low Group By Time 15 Second Bars – April 2017 to Present

This is the range of the 15 second bar. The theme is clear. From 830 to 1030 we see the highest range. Lunch time range contracts before again expanding post 1300 to market close.

Free wordpress doesn't allow the images to be viewed clearly and right click save as yields blurred results. If you have an interest in the images above shoot me and email from the contact form and I will email them.

 

Author: Andrew Bannerman

Integrity Inspector. Quantitative Analysis is a favorite past time.

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