Time-of-day filters for a day trading strategy, from one variable

Almost every US equity strategy behaves differently before the open, in the first half hour, and in the afternoon. Naming the segments once at the top beats repeating time comparisons — and it makes the time-of-day assumptions visible instead of scattered.

1. The rule

# BUY — the same idea, different thresholds per segment t = HhmmSs if 40000 <= t and t < 93000: if RisingStreak(2) and Price / HighestPrice(300) - 1 > -0.005: Buy() elif 93000 <= t and t < 100000: if Strength > 130 and TradeAmount > AvgTradeAmount(300) * 3: Buy() elif 100000 <= t and t < 154500: if Strength > 115 and TradeAmount > AvgTradeAmount(300) * 2: Buy()# SELL if HhmmSs >= 155000: Sell() elif ProfitPct >= 1.5 or ProfitPct <= -0.8 or HoldTime >= 1200: Sell()

2. Three segments, three different markets

HhmmSs is ET as a number, so 93000 is 09:30:00 and comparisons work as you would expect. Note that the first thirty minutes carry a stricter requirement than the rest of the day. That is not tuning. The opening half hour behaves differently enough that the same threshold means a different thing there, and pretending otherwise is how a strategy ends up working only in backtests weighted toward one part of the day.

3. Why the segments are not arbitrary

We measured this rather than assumed it. The opening thirty minutes is the window where the typical minute most reliably covers its own cost — but it is not the only one, and the rate turns back up into the close (the opening 30 minutes is the easiest day trading window). The half-hour boundary also matters for a less pleasant reason: it is where spreads are widest, and where the names your scanner is showing you turn over fastest — half of a 09:35 watchlist is gone by 10:00 (half the stocks on your day trading watchlist).

4. What the round trip asks of it

The 1.5% target against a 0.8% stop needs 35% on paper and 67% with the measured 0.75% round trip (what day trading a US stock really costs). That number is one reason to segment at all. The round trip is not the same in every segment — it is widest before the open and in the first minutes, narrowest in the afternoon. A single set of thresholds charges you the same bar in all three, which is precisely the assumption this structure exists to remove.

5. What to change first

Add a fourth segment for the last thirty minutes before you touch any threshold. The close behaves differently again, and lumping 15:00 and 15:44 together is the same mistake as lumping 09:31 and 11:00. Then record which segment each of your trades came from, and compare the segments as if they were separate strategies — because they are. How to backtest a day trading strategy on US stocks.