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Testing a Late-Session High-Price Pattern in NKE

Article Quant Q&A · Author: Chris
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Summary

The document reports a proposed intraday pattern in Nike (NKE) NYSE trade data. It compares each day’s highest trade price from 15:06 to 15:11 with the highest trade price from 15:36 to 15:41, asking whether the later interval tends to show a specified increase. The stated observation is that this occurs in over 63% of cases during the period from 2019 through September 2021.

The data source is AlgoSeek’s Equity Trade and Quote Minute Bar product, excluding TRF, and the document uses AlgoSeek’s definition of HighTradePrice. It does not show the underlying observations, explain how the claimed increase threshold was calculated, or test whether the pattern is statistically significant after costs or other adjustments. The title frames the claim as a question, so the report should be treated as a hypothesis to verify rather than established evidence of a tradable edge.

Key ideas

  • The document compares NKE high trade prices in two five-minute afternoon windows on the same day.
  • It reports the later window exceeds the earlier one by the stated threshold in over 63% of cases.
  • The sample covers 2019 through September 2021.
  • The analysis uses AlgoSeek minute bars that exclude TRF trades.
  • The document provides no significance tests or transaction-cost analysis.

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EquitiesStatisticsUS markets
Full text
# Is this pattern for high trade prices in the NKE NYSE data correct?


# Is this pattern for high trade prices in the NKE NYSE data correct?












The question is whether the pattern described here actually exists in the NYSE historical data for NKE (Nike).

In over 63% of cases, `HighTradePrice` achieved between 15:36:00 and 15:41:59 increases by at least a factor of 0.00095682334649 compared to `HighTradePrice` achieved between 15:06:00 and 15:11:59 on the same day. Period: 2019 - 2021M09.

Source of data used to find this pattern: AlgoSeek’s Equity Trade and Quote Minute Bar excluding TRF. The term `HighTradePrice` is used according to the AlgoSeek definition = "Price of the highest trade".

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

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