Heston Multi-Slot Periodicity — Strategy by oggabriel63
By oggabriel63
Performance Metrics
- Author: oggabriel63
- Symbol: CME_MINI:NQ1!
- Timeframe: 15 minutes
- Net P&L: +29,895.00 USD (+2.99%)
- Win Rate: 60.4%
- Profit Factor: 2.537
- Max Drawdown: 1,240.00 USD (0.12%)
- Total Trades: 338
Description
HESTON INTRADAY PERIODICITY STRATEGYACADEMIC BASIS:Based on research by Heston, Korajczyk & Sadka (Journal of Finance, 2010).Finding: "Stock returns in a specific half-hour window show continuation at the SAME time window the next day, persisting for 40+ trading days."CORE CONCEPT:If NQ went UP during 10:00-10:30 AM yesterday → likely goes UP during 10:00-10:30 AM todayIf NQ went DOWN during 10:00-10:30 AM yesterday → likely goes DOWN during 10:00-10:30 AM todayWHY IT WORKS:- Institutional VWAP trading (Volume Weighted Average Price algorithms)- Index rebalancing flows occur at predictable times- Market-on-close orders create patterns- Institutions CAUSE the pattern but can't arbitrage it (position size, slippage, mandate restrictions)STRATEGY RULES:1. Track yesterday's return in 6 specific half-hour slots2. At start of each slot today, if yesterday was UP → GO LONG3. Exit: 30pt stop loss, 90pt target (3:1 R:R), or slot end (whichever first)4. Longs only (proven 60%+ win rate vs shorts 50%)TIME SLOTS:S1: 9:30-10:00 AM (opening flows)S2: 10:00-10:30 AM (post-open institutional)S3: 11:00-11:30 AM (mid-morning)S4: 1:00-1:30 PM (post-lunch)S5: 2:00-2:30 PM (afternoon rebalancing)S6: 3:00-3:30 PM (approaching close)BACKTEST PERFORMANCE (5 months):- Win Rate: 60.36%- Profit Factor: 2.537- Total Trades: 338- Avg Win: $241 vs Avg Loss: $148 (1.6:1)- Max Drawdown: $1,240 (0.12%)EXECUTION:- 3-6 setups per day- Fully mechanical (no discretion)- Scalable to multiple accounts- Works on NQ futures (NASDAQ 100)ACADEMIC REFERENCE:Heston, S.L., Korajczyk, R.A., Sadka, R. (2010). "Intraday Patterns in the Cross-Section of Stock Returns." Journal of Finance, 65(4), 1369-1407.