Are there factors that influence the direction of the market
Executive summary We found 2 factors that significantly influence the direction of the S&P futures market: time of the day and downtrends. The baseline win rate for the S&P futures is 51.6%, but we found time periods that have an average win rate of 55.4%, and some as low as 47% average win rate. We also found that the market has a mean-reversion tendency: when a 30-minute candle went down, the next candle has a 53% chance of being winning vs 50% for other circumstances. We used these two factors to build a 54% win rate system compared to the baseline. The system is also more robust to downturns. Detailed summary We built a model using the findings mentioned above. The basic idea was to go long during time frames with a 55.4% average win rate, and short on the frames with a 47% win rate. The rationale behind this strategy is that by introducing consistently short and long positions, in theory we should be able to catch both upward and downward movements o...