Time of Day

What It Does

Time of Day runs on intraday bars during the contract’s regular trading hours session. Each session walks a simple lifecycle:

1. Wait for entry: from the RTH open, the strategy counts minutes elapsed in the contract’s RTH timezone. When the elapsed count reaches entry_minute, it sends a single market order in the configured direction.
2. Hold: the position stays open with no stops, no targets, and no other intraday logic.
3. Exit: when elapsed minutes reach exit_minute, the strategy flattens. If the session ends before exit_minute for any reason (a half-session, missing data), the end-of-RTH guard flattens anyway. The strategy never holds overnight.

Only one trade per session. Once an entry fires, the strategy waits for the next session before doing anything else.

The strategy never looks at price. The decision is entirely time-based; the same trade fires on a strong trend day, a chop day, and a holiday half-session alike.

Why It Works (Sometimes)

Intraday futures sessions show repeatable structure. The first 30 minutes after the cash open often see directional initiation, the midday hours often range or fade, and the last hour often sees a directional close as positioning flows pick up. A clock-based test isolates whatever drift is in that structure, with no signal noise to argue about.

The flip side: most time windows do not have a strong enough drift to overcome commissions and slippage. The strategy will happily enter every session whether or not the day looks favorable, and a string of opposite-direction days can blow through any small drift. Without filters this is a baseline, not a strategy. It tells you what the average session looks like at a given time, not how to trade around it.

Presets

Six presets ship out of the box:

• Power Hour Long / Short: the last hour of the RTH session (minute 330 to 390), in each direction. The classic late-session drift bet.
• Lunch Fade Short: short midday (minute 120 to 240). Targets the well-known midday weakness when intraday momentum stalls.
• Midday Long: long midday into the afternoon (minute 120 to 300). The opposite read on the same window, plus a longer hold.
• First Hour Long: long the open through minute 60. Tests whether the opening impulse carries a long bias on average.
• Last 30 Min Long: long the closing 30 minutes. The smallest version of the end-of-day drift bet.

Use the form to set your own entry and exit minutes; the presets are starting points for the research.

Best In

• Liquid equity index futures (NQ, ES) where the RTH session is well-defined and intraday participation is high.
• Research where you want to isolate the time-of-day component of returns from any other signal.
• Comparing how the same time window behaves across years or contracts; a clock-based strategy gives you a clean baseline to layer filters on top of.

Where It Struggles

• Days with one-direction trends against the configured side. The strategy has no awareness; it will short an obvious up-trend day and ride it.
• Holidays and half-sessions. The end-of-RTH guard flattens correctly, but the entry fires regardless of how short the day is.
• Any window without enough drift to overcome commissions. Many time windows look like coin flips after costs.

Possible Uses

• A baseline for any time-aware strategy. If a more elaborate intraday setup does not beat the bare time-of-day window it is trying to capture, the extra logic may not be earning its keep.
• A research tool for seasonality inside the trading day. Running the same window across NQ and ES, or across different years, surfaces drifts that pure daily-bar analysis misses.
• A starting point for layered strategies. Time of Day plus a trend filter, plus a volatility filter, or plus a daily-bias filter often produces something usable from a baseline that on its own is not.

What It Does Not Do

• No stops, no targets. A position that goes deeply against the entry sits there until the scheduled exit.
• No price logic. The strategy will enter on the worst gap-up day and the cleanest break day with the same conviction.
• No support for contracts without an RTH session definition. GC and similar are not currently available; the strategy panics if you try.
• No re-entry within a session. Once the day’s trade has fired, the strategy is done until the next session.