Just 2 years after we first noted it, [5] the mainstream media has become fascinated with the performance of stocks in the last 30 minutes of the US cash session - the 330 Ramp! But, as with anything that becomes widely known (apart from "never start a land war in Asia" and "stocks are always cheap"), the exuberant last 30 minute ramp has been superseded by another... Welcome to The 2am Europe Open Ramp.
[6]
As Nanex's Eric Scott Hunsader notes [7], a stunning 22% of all S&P 500 futures gains have occurred between 2am ET and 3am ET.
22% of eMini gains since the start of the bull market occurred between 2am and 3am Eastern time! $ES_F [8]
— Eric Scott Hunsader (@nanexllc) June 16, 2015 [7]
But wait, it gets better, because going even further back reveals that in the past decade 49%, or half of all stock gains, have taken place in just that one late hour, right before Europe opens for trading!
49% of eMini gains since 2005 occurred between 2 and 3am ET! $ES_F [8] pic.twitter.com/fn6U54x8Sr [9]
— Eric Scott Hunsader (@nanexllc) June 16, 2015 [10]
The offset? the 7:00am-8:00am block has shown the consistently worse performance in the past decade.
So with fundamentals not working since central banks took over, why not do a chronopair trade, going long ES at 2:00am Eastern for one hour, offset by a short in the market between 7 and 8:00am on every trading day.
It may not beat the artificial market, but with a 10 hour work week just think of all the extra free time.
