The Extremely Uneven Distribution Behaviour In Emini S&P 500 Regular Trading Session

By Lawrence

Following is a chart showing the net gains from long only models that trade only on a particular weekday. The results are very interesting.

Notice the drastic difference in net gain for each weekday. I can guess that you have many questions in your mind now.

How can this be true?

How come they all look different?

Isn’t the net result supposed to be very similar to the overall net gain?

Here is the net gain chart if you long Emini S&P everyday from open to close in the regular trading session.

Many would have thought that you should have made some money but that is not true. In reality buying the day session is a losing idea all the way since the first introduction of index future until year 2009. Everything changed afterwards.

I have mentioned this issue in Betting On The Gaps Themselves but it was not the emphasis in that article.

Here, I would like to point out three important weekday based characteristics of the Emini S&P market and how they have changed since that Great Spike Low (GSL) in year 2009.

First, Friday was the sell day until GSL. Since then, Friday no longer gives us reliable sell setups. Fridays also become the famous last hour miracle rally day if the week has been down badly.

Second, Wednesday was the continuation day. It was very reliable in giving us continuation play from the move started from Monday / Tuesday. Since 2011, it becomes extremely erratic and has lost this characteristics on close basis.

Third, Tuesday was always the consolidation / down day. It has been like that ever since the large S&P contract was introduced. Yet, since the financial crisis started and went out of control back in 2008, it became the weekday that central banks chose to intervene.

I have no idea why they choose this particular weekday to take actions. All I can gather from news confirming their interventions is that this concentration of intervention activities lands on Tuesdays. At this point, the effect is compounded by POMO larger size programs somehow also concentrated on Tuesdays.

Now, the shocker – the probability statistics on weekdays I compiled in my ebook Time Map 2 is still holding up. The only change is the magnitude of the moves that caused this drastic change. (Sneaky bas#*&ds!)

In another words, the strongest statistical biases now are the intraday ones because interventions are done to trap the traders closest to the market on the wrong side to create the effects the authorities wanted. The resulting powerful moves overwhelm the whole market and can suppress the higher timeframe biases easily. As a result, classic strongholds from higher timeframes no longer produce low risk entries.

So how do we deal with it? The solution is as simple as focusing on one chart pattern, false breakout.