The Graveyard / Clock scalp
FamilyClock scalp
Trades placed at a fixed time of day, such as a market reopen.
tested here
0
survived the screen
0
our lab studies
4
The idea
Trade a fixed time of day: the reopen, the London open, the first minute.
Why it feels right
Volatility does cluster at those times, and a clock rule is easy to follow.
What the data said
Clock scalps are volatility, not direction: the moves are real and unsigned. Simulations on 1-minute bars at the open also fill at prices that never existed; only live or tick-level fills count.
The laws that apply
- A 1-minute-bar simulation of the opening seconds is an artefact.
The first bar's open, high and low hide a whole auction. Trades placed 'at the open' only count when filled live or on tick data; on bars they pick up prices that never traded.
- Costs decide.
The toll (spread, commission, slippage, financing) is the biggest lever we have ever measured: lowering it from 2 to 0.55 basis points changed a strategy's result by more than any rule change. An edge that only exists below real costs is not an edge, and most intraday videos sit in that gap: positive gross, negative net.
Nothing on file yet
No autopsy of this family has been published yet. Paste one and it lands here.
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