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2007issue C051-4

Session filters for moving-average entry rules

A lagging moving average forecasts whether the regular-session open sits above a lookback baseline. In the archive workflow, that forecast became a mechanical long only after overnight and volume filters decided when the 09:30 ET entry was allowed to fire.

  • A moving average is a lagging forecast of whether the open sits above or below a lookback baseline, not an order by itself.
  • Session analysis then filters that forecast with the overnight gap, prior-session volume, and regular-session hours.
  • The mechanical system is one procedure: enter at the 09:30 ET open, exit at the 16:00 ET close, or stand aside.
  • Among the listed lookbacks, only the unadjusted 34-day long had a positive regular-session result, and the three-condition filter changed that historical comparison.
Entries in this reading3 entries
Current trackSession analysis42 readingsMechanical trading system322 readingsMoving average597 readings

The forecast is not yet a trade

A moving average is a lagging average of ordered session prices that forecasts whether the open sits above or below a lookback baseline. That comparison names a condition. It does not yet say when a regular-session long may be sent, when it must be offset, or when the desk should stand aside.

How the unadjusted long was stated

The archive workflow used a mechanical long that entered at the 09:30 ET open when that open was above the 34-day average and was offset at the 16:00 ET close. No trade occurred when the open was below the average.

The 34-day signal could not be formed until 34 trading days after the October 31, 2002 start, so that series began on December 18, 2002.

Session filters that gate the open

Session analysis is a filter that uses overnight gap, prior-session volume, and regular-session hours to decide whether an opening long is executable.

The adjusted rule required three conditions together: open above the 34-day average, prior-day volume above 100,000,000 shares, and an overnight session below 0.00.

A 100 million-share session sat at the 60th percentile of cue volume given a mean of 92 million and a standard deviation of 29 million.

One procedure for entry, exit, and abstention

A mechanical trading system is a single procedure that states when to enter at the open, exit at the close, or stand aside. After the session filters, the overnight-decline branch posted a 0.708 win rate and a 124 average on a 1,000-share regular-session long.

The same filtered procedure produced a 12.38 regular-session profit, versus 0.685 for the unadjusted 34-day long over 615 days.

Filtered 34-day SMA running P/L on QQQQ

After the overnight and volume gates, the long-only regular-session book sat near zero through early 2004, then made two concentrated runs — late 2004 and mid-2006 — that account for nearly all of the finished gain. Point values were read from the printed running-performance plot; the right-hand level agrees with the article’s stated $12.39 per-share total.
After the overnight and volume gates, the long-only regular-session book sat near zero through early 2004, then made two concentrated runs — late 2004 and mid-2006 — that account for nearly all of the finished gain. Point values were read from the printed running-performance plot; the right-hand level agrees with the article’s stated $12.39 per-share total.QQQQ · regular session · 2002-12-01T00:00:00.000Z to 2007-01-01T00:00:00.000Z

TMA entered a 1,000-share long only when the 09:30 ET open was above the 34-day simple moving average, prior-day volume exceeded 100 million shares, and the overnight session declined; the position was always closed at 16:00 ET. Digitized turning points are approximate to about two-tenths of a dollar.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
9 of 18 in the Session analysis track
20081-4 pp.Next on Session analysisRelated-market checklist, session filter, and ATR-scaled stopRelated-market confirmation allows a signal only when the candidate moves with a fixed related-market set. Stay-out classification is the same checklist when time and price do not confirm.
All readings on this track · 18 readings
  1. 1990Constructing a second-hour session residual exponential index
  2. 2000Treat an open limit book as an execution filter
  3. 2002Constructing a long, short, or flat pre-trade checklist
  4. 2003Session-window trims for mechanical day-system evaluation
  5. 2004Overnight session entry rules after regular hours
  6. 2005Overnight and regular session execution in Nasdaq 100 names
  7. 2006The intraday workspace as a combined decision procedure
  8. 2006Same-session trading needs presence and next-signal rules
  9. 2007Session filters for moving-average entry rules
  10. 2008Related-market checklist, session filter, and ATR-scaled stop
  11. 2008After-hours session regimes and the next-day close
  12. 2008Evaluating a next-open entry after one-day corrections
  13. 2010Session range share: currency futures versus the mini index
  14. 2011Dollar travel, afternoon sessions, and a 1:2 first-loss bound in equity-index futures
  15. 2012Last-hour volume breaks with a first-hour exit
  16. 2013Same-session and multi-session trades as one rule-based procedure
  17. 2015Session clock bars from public quote feeds
  18. 2016Session-gated moving-average entry construction
By fieldEntry and exit rules327 readingsBy year2007144 readings
All 42 readings tagged Session analysis
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