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Tuesday, February 28, 2023
US SPX Index Analysis - Impact of Different Time Zones
*Trading in financial market carries risk and can result in loss of capital.
*This performance is only observed with historical backtests and not traded by the company.
The product and investment ideas do not consider the risk profile and financial position of the recipient and may not be suitable for everyone. Trading in financial markets and use of margin involves a significant risk of loss, which can exceed deposits. Please read the complete disclaimer carefully.
Risks & Assumptions
The analysis attempts to determine the impact of different time zone trading sessions on the main US New York - SPX 500 trading session prices. For this purpose, the analysis is made for Tokyo, London and New York time zone trading sessions.
Underlying Instrument Reference
The $ ES active futures prices have been taken for analysis. These futures trade nearly 24 hours a day and, as such, are used by most market participants for pricing purposes.
The data corresponds to the last 6 Month 4 Hourly candle (01/08/2022 to 17/02/2023). These candles were combined to reflect the three separate time zone sessions. A total of 142 candles across 3-time sessions were analysed.
Reference Time Session (Time zone as of UAE Time)*
|Tokyo Session||2:00 AM||to||10:00 AM|
|London Session||10:00 AM||to||18:00 PM|
|New York Session||18:00 PM||to||Midnight|
|*Subject to change|
|Actual Impact of Tokyo & London trading session prices on New York trading session price|
|Scenario 1||Scenario 2||Scenario 3||Scenario 4|
|When both Tokyo & London sessions are negative||When both Tokyo & London sessions are positive||When Tokyo is negative, and London is positive||When Tokyo is positive, and London is negative|
|The New York session tends to be||Negative||Positive||Positive||Negative|
|% of the times, the respective
trend was observed
|What would have been the strategy performance if $ 100,000 had been invested based on the above trend for each trade?|
|*Trade Entry at New York Session Open and Trade Exit at New York Session Close|
|Primary Trade Direction for New York Session based on the above trend||Short||Long||Long||Short|
|Total Positive Trades||25||23||28||22|
|Total Negative Trades||10||8||7||12|
|Average P & L of Positive Trade||$832.82||$740.09||$1,007.20||$916.48|
|Average P & L of Negative Trade||($581.95)||($510.36)||($897.37)||($429.33)|
New York trading session returns profile visualisation
The charts below help better understand how the actual New York trading session prices move with respect to the other two sessions:
Risks and Assumptions for Back-tested trading strategies
Data Source: Bloomberg
Data as of: 17/02/2023
Arun Leslie John
Chief Market Analyst
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