ExcelTrader» orders http://exceltrader.net Excel Based Stock and Futures Trading tools. Wed, 18 Jan 2012 18:01:20 +0000 en hourly 1 http://wordpress.org/?v=3.3.1 Quick test of The ETF effect in the last trading hour. http://exceltrader.net/238/quick-test-of-the-etf-effect-in-the-last-trading-hour/ http://exceltrader.net/238/quick-test-of-the-etf-effect-in-the-last-trading-hour/#comments Thu, 23 Apr 2009 20:30:53 +0000 ExcelTrader http://www.exceltrader.net/?p=238 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.

etftest

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