ES Dailys: MoO/MoC Trades

[OddTrader]

A research paper from the American Economic Association.

" HIGH FREQUENCY TRADING AND END - OF -DAY MANIPULATION "

Q https://www.aeaweb.org/aea/2013conference/program/retrieve.php?pdfid=12

EOD price case by looking at the price change between the last trade price (P t ) 3 and last available trade price 15 minutes before the continuous trading period ends (P t-15) . A price movement is abnormal if it is four standard deviations away from the mean abnormal price change during the past 100 trading days benchmarking period.
UQ

 

[OddTrader]

ES; Entry MoO; Loss-stop 5 pts; Exit MoC.

Last 4 trades P/L: -2 pts.

Trade 5, Monday, 22 Jun, 2015. Short.

 

[OddTrader]

ES; Entry MoO; Loss-stop 5 pts; Exit MoC.

Last 4 trades P/L: -2 pts.

Trade 5, Monday, 22 Jun, 2015. Short.

Short 2114.75; Exit 2119.75; -5(-2=-7 pts.)

 

[OddTrader]

Trade 6, Tue 23 Jun, 2015. Short.

 

[OddTrader]

Trade 6, Tue 23 Jun, 2015. Short.

Short 2117.25; Exit@15:00Hour 2115.75; 1.5(-7=-5.5 pts.)

 

[OddTrader]

Done enough trades, but not good enough performance! Bye for now!

Obviously Romik can do much better.

http://www.elitetrader.com/et/index.php?threads/es-journal-2015.288816/page-370

+13.5
-2
-1.5
-1.75
-2
+10
+8.75
-0.75
-3
+5
-3.25
-3
+9.75
-2.25
-2.5
+10
-1.5
-2.5
b/e
-2
-2.5
-2.5
-1.5
-1.5
-2.75
-3.25
-2
-4.75
+34.5
+7.75
-2.5
-2.5
-2
-3.5
-2.75
-2
--------+35.25

wins: 8 losses: 27
win rate: 0.22
average win: 12.4
average loss: 2.37
Average reward is x5.23 the average risk