Combining Weekday and Intraday Effects in Chinese Index Futures

Summary

The report describes a CTA approach for Chinese stock index futures that combines weekday return patterns with intraday effects. Its analysis notes higher return probabilities overnight and during the first half hour after the open, and different weekday performance in rising and falling markets. The weekday timing rules use the index’s near-close price relative to its level two days earlier to classify market conditions. A separate overnight enhancement method combines closing premium or discount, order imbalance, and basis changes, while excluding signals before long holidays.

The report evaluates the methods on IF, IH, and IC contracts and gives annualized return and Sharpe figures, including results for a combined IF and IC portfolio after assumed trading costs. It also reports weaker performance in 2017 and examines sensitivity to transaction costs and signal timing. These are historical backtest results, not evidence that the patterns will persist. The summary provides limited detail on data construction and validation, and the authors identify execution near the close and market volatility as practical considerations.

Key ideas

• Index futures showed overnight and early-session return patterns in the studied sample.
• Weekday returns differed between rising and falling market conditions.
• The timing rules use recent index price movement to classify market state.
• An overnight signal combines closing premium or discount, order imbalance, and basis change.
• The combined strategy’s results varied by year and were sensitive to execution assumptions.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.