Heston Multi-Slot Periodicity
HESTON INTRADAY PERIODICITY STRATEGY
ACADEMIC BASIS:
Based on research by Heston, Korajczyk & Sadka (Journal of Finance, 2010).
Finding: "Stock returns in a specific half-hour window show continuation at the SAME time window the next day, persisting for 40+ trading days."
CORE CONCEPT:
If NQ went UP during 10:00-10:30 AM yesterday → likely goes UP during 10:00-10:30 AM today
If NQ went DOWN during 10:00-10:30 AM yesterday → likely goes DOWN during 10:00-10:30 AM today
WHY IT WORKS:
- Institutional VWAP trading (Volume Weighted Average Price algorithms)
- Index rebalancing flows occur at predictable times
- Market-on-close orders create patterns
- Institutions CAUSE the pattern but can't arbitrage it (position size, slippage, mandate restrictions)
STRATEGY RULES:
1. Track yesterday's return in 6 specific half-hour slots
2. At start of each slot today, if yesterday was UP → GO LONG
3. Exit: 30pt stop loss, 90pt target (3:1 R:R), or slot end (whichever first)
4. Longs only (proven 60%+ win rate vs shorts 50%)
TIME SLOTS:
S1: 9:30-10:00 AM (opening flows)
S2: 10:00-10:30 AM (post-open institutional)
S3: 11:00-11:30 AM (mid-morning)
S4: 1:00-1:30 PM (post-lunch)
S5: 2:00-2:30 PM (afternoon rebalancing)
S6: 3:00-3:30 PM (approaching close)
BACKTEST PERFORMANCE (5 months):
- Win Rate: 60.36%
- Profit Factor: 2.537
- Total Trades: 338
- Avg Win: $241 vs Avg Loss: $148 (1.6:1)
- Max Drawdown: $1,240 (0.12%)
EXECUTION:
- 3-6 setups per day
- Fully mechanical (no discretion)
- Scalable to multiple accounts
- Works on NQ futures (NASDAQ 100)
ACADEMIC REFERENCE:
Heston, S.L., Korajczyk, R.A., Sadka, R. (2010). "Intraday Patterns in the Cross-Section of Stock Returns." Journal of Finance, 65(4), 1369-1407.
ACADEMIC BASIS:
Based on research by Heston, Korajczyk & Sadka (Journal of Finance, 2010).
Finding: "Stock returns in a specific half-hour window show continuation at the SAME time window the next day, persisting for 40+ trading days."
CORE CONCEPT:
If NQ went UP during 10:00-10:30 AM yesterday → likely goes UP during 10:00-10:30 AM today
If NQ went DOWN during 10:00-10:30 AM yesterday → likely goes DOWN during 10:00-10:30 AM today
WHY IT WORKS:
- Institutional VWAP trading (Volume Weighted Average Price algorithms)
- Index rebalancing flows occur at predictable times
- Market-on-close orders create patterns
- Institutions CAUSE the pattern but can't arbitrage it (position size, slippage, mandate restrictions)
STRATEGY RULES:
1. Track yesterday's return in 6 specific half-hour slots
2. At start of each slot today, if yesterday was UP → GO LONG
3. Exit: 30pt stop loss, 90pt target (3:1 R:R), or slot end (whichever first)
4. Longs only (proven 60%+ win rate vs shorts 50%)
TIME SLOTS:
S1: 9:30-10:00 AM (opening flows)
S2: 10:00-10:30 AM (post-open institutional)
S3: 11:00-11:30 AM (mid-morning)
S4: 1:00-1:30 PM (post-lunch)
S5: 2:00-2:30 PM (afternoon rebalancing)
S6: 3:00-3:30 PM (approaching close)
BACKTEST PERFORMANCE (5 months):
- Win Rate: 60.36%
- Profit Factor: 2.537
- Total Trades: 338
- Avg Win: $241 vs Avg Loss: $148 (1.6:1)
- Max Drawdown: $1,240 (0.12%)
EXECUTION:
- 3-6 setups per day
- Fully mechanical (no discretion)
- Scalable to multiple accounts
- Works on NQ futures (NASDAQ 100)
ACADEMIC REFERENCE:
Heston, S.L., Korajczyk, R.A., Sadka, R. (2010). "Intraday Patterns in the Cross-Section of Stock Returns." Journal of Finance, 65(4), 1369-1407.
면책사항
해당 정보와 게시물은 금융, 투자, 트레이딩 또는 기타 유형의 조언이나 권장 사항으로 간주되지 않으며, 트레이딩뷰에서 제공하거나 보증하는 것이 아닙니다. 자세한 내용은 이용 약관을 참조하세요.
면책사항
해당 정보와 게시물은 금융, 투자, 트레이딩 또는 기타 유형의 조언이나 권장 사항으로 간주되지 않으며, 트레이딩뷰에서 제공하거나 보증하는 것이 아닙니다. 자세한 내용은 이용 약관을 참조하세요.