IWM 9:30-9:35 high/low vs 9:30-9:59 high/low

Did a quick study of comparing the high (low) after 5 minutes vs high (low) after 30 minutes of the trading day.  For the past year or so, the high of the first half hour was reached prior to 9:35 42% of the time and low was reached prior to 9:35  36% of the time.  Assuming you bought at the high (sold at the low) of the first minutes, and you picked the right direction (which probably is possible to buy on a pull back after crossing the 5 minute high/low), then the average gain was 0.6%.   In other words, if you bought at the first 5 minute high, after seeing a higher higher, you would typically see the price rise another 0.6%.  In the 25% of the time that both the high and the low of the first 5 minutes were exceeded, they were typically exceeded by 0.3% each.

This study didn’t look at how the rest of the day performed, so no conclusions should be drawn on full day performance vs the first 5 minutes of the trading day.


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