A straightforward intraday momentum strategy is being tested on the ES futures using 30-minute candlesticks. The method involves calculating the absolute movement (|Close-Open|) for each 30-minute interval over the past 120 days, creating a distribution for each time slot. A trading signal is generated when the current candlestick's movement exceeds 90% of historical movements in the same slot. Trades are executed in the direction of the impulse: LONG if Close > Open, SHORT if Close < Open. Positions are held for exactly one candlestick (30 minutes) and exited at the close.
This approach does not incorporate stops, targets, market regime filters, fees, or risk management, focusing solely on the tendency. The effect of 'extreme impulse by time of day' appears consistent across both long and short positions and multiple markets, serving as a foundational element for real systems. The strategy is designed to be a simple, testable edge that can be integrated into automated systematic portfolios.
Simple Intraday Momentum Strategy Tested on ES Futures
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