2012issue C0832-35
Last-hour volume breaks with a first-hour exit
The procedure opens in the last hour of one cash session after volume confirms a narrow-range or pivot break, then flattens in the first hour of the next session as an overnight long or short.
- The only entry window is the last hour of the cash session, and the only exit window is the first hour of the next session.
- Last-hour session bias is used to hunt longs on a higher day, hunt shorts on a lower day, or cut size in half on a narrow-range day.
- A last-hour narrow-range break or pivot break is taken only when that hour's volume bar exceeds typical end-of-day volume.
- A candidate break bar must stand at least 3% from the prior close and is checked against the 20- and 30-day simple moving averages and a 20-period Donchian channel.
A two-window overnight day-trade
The procedure opens in the last hour window of one cash session and flattens in the first hour window of the next. The position is an overnight day-trade: a same-direction overnight long or overnight short.
Entry is allowed only in the last hour. Exit is required in the next first hour.
The first and last hours of the cash session
The first and last hours of a cash session are treated as the most active windows by both price movement and traded volume.
In the described Indian cash session the first hour is 9:15-10:15 and the last hour is 2:30-3:30 local time. The same two-window logic is presented as transferable to other markets.
Session bias as a directional filter
The session bias filter is the day's net direction read in the last hour. A higher or positively biased day is used to hunt longs. A lower or negatively biased day is used to hunt shorts. A narrow-range day is used to cut size in half.
Two last-hour setups and volume confirmation
Two last-hour setups are specified. A narrow-range break is a last-hour breakout or breakdown of a tight daily range, taken only with larger-than-usual volume. A pivot break is a last-hour break of a prior swing high or low, also taken only with larger-than-usual volume.
Volume confirmation is a last-hour volume bar that exceeds typical end-of-day volume on most prior days. Greater volume is treated as stronger confirmation. Volume confirmation filters the setup rather than standing alone.
Where the break bar must sit
A candidate break bar is required to stand at least 3% from the prior close. Location is checked on the 20- and 30-day simple moving averages and a 20-period Donchian channel.
Two historical cash-session examples
On 8 December 2011, Jet Airways gave a daily narrow-range breakdown while the tape and the airline group were weak. A short was taken at 14:30. The next first hour declined on large volume.
On 15 December 2011, Jubilant Foodworks took out an upside pivot on larger-than-usual volume after four declining days. The long was entered after 14:30 on the high-volume surge bar.
All readings on this track · 18 readings
- 1990Constructing a second-hour session residual exponential index
- 2000Treat an open limit book as an execution filter
- 2002Constructing a long, short, or flat pre-trade checklist
- 2003Session-window trims for mechanical day-system evaluation
- 2004Overnight session entry rules after regular hours
- 2005Overnight and regular session execution in Nasdaq 100 names
- 2006The intraday workspace as a combined decision procedure
- 2006Same-session trading needs presence and next-signal rules
- 2007Session filters for moving-average entry rules
- 2008Related-market checklist, session filter, and ATR-scaled stop
- 2008After-hours session regimes and the next-day close
- 2008Evaluating a next-open entry after one-day corrections
- 2010Session range share: currency futures versus the mini index
- 2011Dollar travel, afternoon sessions, and a 1:2 first-loss bound in equity-index futures
- 2012Last-hour volume breaks with a first-hour exit
- 2013Same-session and multi-session trades as one rule-based procedure
- 2015Session clock bars from public quote feeds
- 2016Session-gated moving-average entry construction