Time-of-day strategy backtest results

The short answer

Answers here: Does going long at the open and out at the close make money? · Does waiting until 10:00 help?

What the script does

Time-of-Day Strategy, from the strategy library.

The numbers, run by run

Net and holding the symbol are after costs over the same period. Held-out is the verdict on the last third of the history judged alone: survived, decayed, did not survive, or too few trades to judge.

Year by year

in 09:30, out 15:55 on SPY, long only, and SPY itself, each calendar year after costs. A partial first or last year counts the sessions it has.

Every trade

The newest 400 of the 600 trades of in 09:30, out 15:55 on SPY, long only, oldest first: side, entry and exit days, fill prices after slippage, and the return after both commissions. The other runs' trades open below.

The script

Pine v6, exactly as it ran for in 09:30, out 15:55 on SPY, long only. The variants change only the inputs listed in the table.

//@version=6
strategy("Time-of-Day Strategy", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100, initial_capital=100000, commission_type=strategy.commission.percent, commission_value=0.05, slippage=1, margin_long=0, margin_short=0)

entryHour   = input.int(9, "Entry hour (exchange time)", minval=0, maxval=23, group="Timing")
entryMinute = input.int(30, "Entry minute", minval=0, maxval=59, group="Timing")
exitHour    = input.int(15, "Exit hour (exchange time)", minval=0, maxval=23, group="Timing")
exitMinute  = input.int(55, "Exit minute", minval=0, maxval=59, group="Timing")
goLong      = input.bool(true, "Long (off = short)", group="Direction")

// hour and minute are already the exchange clock, so no timezone maths and no GMT;
// "at or after" so a 09:35 entry or a 15:55 exit still fires on 15-minute bars
afterEntry = hour > entryHour or (hour == entryHour and minute >= entryMinute)
afterExit  = hour > exitHour or (hour == exitHour and minute >= exitMinute)
newDay     = timeframe.change("D")

var bool traded = false
if newDay
    traded := false

enterSig = afterEntry and not afterExit and not traded and strategy.position_size == 0 and barstate.isconfirmed
exitSig  = afterExit and strategy.position_size != 0 and barstate.isconfirmed

bgcolor(enterSig ? color.new(#16A56A, 90) : exitSig ? color.new(#E5484D, 90) : na, title="Entry and exit bars")

if enterSig
    if goLong
        strategy.entry("Long", strategy.long)
    else
        strategy.entry("Short", strategy.short)
    traded := true
if exitSig
    strategy.close_all()

How it was tested

Alpaca 5-minute data from the last 600 sessions, 0.05% commission and 0.025% slippage on every fill, the last third of the history held out, textbook settings and nothing tuned. The engine, fills and what it does not model are written out once, in data and methodology.

Questions