A recent WSJ article suggests that leveraged ETF funds are affecting trading action in the final hour due to having to rebalance their positions near end of day. A “cascading” effect is said to occur on days the market is significantly up or down in the final hour.
To test this idea, I ran a quick test on the last year of ES futures data using the following rules:
1. If a new high(low) is reached for the day an and there is one hour or less remaining enter Long(short).
2. Sell one minute before market close.
The results are below.
*Final profit of $6371.
*Highest profit was 11,671
*The strategy has not made money in 2009 but still profitable overall and may be worth running additional tests.
Recent Comments