Experiment: Does News Matter?, 10/04/07

First Hypothesis: No because then the general patterns wouldn't work as well as the news patterns.

Second Hypothesis: No because good news and bad news should balance each other out and the good news gets a kick from the drift which is why there's buying into release times.

First Experiment: Write a small trading system that trades not quite randomly throughout the day and see when it's optimal start time is.

First Result: The optimal start time was 10:10 est, right after the last news release.

First Refined Hypothesis: News doesn't matter until it does. Further, when it matters is proportional to average trade profit.

Second Experiment: When is the best time of day to stop trading?

Second Result:The optimal end time was 3:10 est, the last practical hour to position prior to the next news release.

First Question of Correlation and Causation: Is it news or institutions that matter?

Henry Carstens
Vertical Solutions