An Investigation of Simple Intraday Trading Strategies

Abstract

This working paper investigates the performance of several published simple intraday trading strategies for S&P-500 futures. The general result is: The strategies do not work as advertised under realistic trading assumptions. The paper discusses some possible refinements. It is important to restrict the rules to specific market regimes. An appropriate regime-classifier is the Implied-Volatility-Term-Structure (IVTS) developed in previous working papers. The best strategy under investigation is a set of rules proposed by the Sibyl-Fund trader Siddharth Bhatia. But overall it seems to be difficult to develop a simple and attractive intraday strategy.