FTM Entry Time Study

Haven't written for a week because 1) I attended SXSW from last Thu - Sun (go Japanther go!) and 2) I have been in the midst of a 4-day drawdown and did not feel like writing. I gave back about 33% during this time period. Why was the strategy performing so poorly as compared to before? Good question!


I MAY have identified the reason why I was having so many consecutive losers: my entry time was whack. If you take a gander at the table above, you will find that, given the present sample, the FTM's winning % when playing individual stocks seems to drop precipitously when the first entry is at made 10:50am or later. The market has been so strong recently that stocks were not pulling back as early in the morning as they were before. When they did, that is, after 10:50am, they had more or less blew their loads for the morning and had no steam left. This phenomenon does not seem to be isolated to the last four days however: looking back I found that many of my losers occur on first entries after 10:50am. So we will see going forward if avoiding first entries after 10:50am will also help me evade a rapid drawdown such as the one I recently experienced. Most likely I will need to collect more data until I can be assured that this phenomenon persists.

Peace & love.

And for you metalheads out there!