Does the rest of the day predict the last 30 minutes of NQ?

In the published table for 1996–2020 yes, with the same sign: coefficient 6.36, t = 7.97, out-of-sample R² 3.76%. The share explained is small, and the paper does not claim a tradable profit.

Baltussen, Da, Lammers, Martens: market intraday momentum (NQ results)

Academic paper: “Hedging demand and market intraday momentum”, Journal of Financial Economics 142 (2021) 377–403

AA — the trader’s own published text (rule document, own site) was read.

A statistical result about the last 30 minutes of the day, tested across more than 60 futures including NQ. The return from the previous close to 30 minutes before the close predicts the return of the last half-hour, in equity, bond, commodity and currency futures. For Nasdaq-100 futures the table shows one of the stronger results. This is a measurement of predictability, not a trading rule with a P&L.

A published rule is a hypothesis, not evidence of profit. We do not know how often these rules won, and traders who publish their methods are the ones who survived.

Sources

Hedging demand and market intraday momentum (Baltussen, Da, Lammers, Martens), Journal of Financial Economics 142 (2021) 377–403, DOI 10.1016/j.jfineco.2021.04.029 — book or paper, 2021
The author’s copy on the Notre Dame site; the abstract, definitions and the table with NQ were read.

Rules

Filter

FilterA trading day is the 24 hours from the close on day t−1 to the close on day t, split into: overnight, the first half-hour after the open, the middle of the day, the second-to-last half-hour and the last half-hour. “Rest of day” is everything except the last half-hour. For NQ the hours are 09:30–16:00 and the sample is 12 April 1996 – 1 May 2020.
[1]
FilterFor comparison in the same table (rest of day): E-mini S&P 500 — coefficient 6.18, t = 4.97, R² 3.41%, out-of-sample 2.29%; Dow futures — 5.02, t = 4.12, R² 2.20%, out of sample 2.18%; all markets pooled — out-of-sample R² 2.88%.
[1]

Entry

EntryThe measured signal: the return of the rest of the day has the same sign as the return of the last half-hour on average. In the paper’s regression for NQ the coefficient on rest-of-day return is 6.36 (t-statistic 7.97), in-sample R² 4.10% and out-of-sample R² 3.76%, as printed in the table.
[1]

Discipline

DisciplineThe effect reverts over the following days, and the authors link it to the hedging of short-gamma positions (market makers in options and leveraged ETFs buy when prices rise and sell when they fall, so they push the move at the close).
[1]

Not confirmed

Often attributed to this trader, but not found in the sources above. Not listed as his or her rules.

The paper is about predictability of returns, not a costed trading strategy; no entry, stop or profit target is given here because none was taken from it. Whether the last half-hour of NQ can be traded after costs is not shown by the table.

Limits of these rules

An R² of about 4% means that about 96% of the variation of the last half-hour is not explained by the rest of the day. The sample ends in May 2020, so it does not show what happened since. A statistically strong effect can still be too small to trade after spread, commissions and slippage; this is a hypothesis for our own test, not a signal.

Other traders

Rules are our paraphrase of the sources; only short quotes are verbatim. This is information, not advice or a promise of profit.