We take four starting points to begin the 24 hour period: MIDNIGHT, GLOBEX OPEN, NYSE OPEN, NOON. Then, we use a 15m chart and export the HH and LL data to a csv file. I then make a form chart with the data results.
Here is the return using data from August 2009 through July 2019:
Using ES mini S & P Futures
It is easy to see that the events of a market open, either NYSE or Globex, offer the high or low of the next 24-hour period. This is telling you that you can expect more often than not that once a low or high is put in the first 15 minutes of the session, it is hard to break. Of course, it can be broken!
So, as I initially thought to myself, midnight is the best time to use to get out of the action of high volume times as a starting point. This forces those other two times to work against each other for graph height.
The only conclusions that I draw from this analysis is that the price tends to rise more at the end of the NYSE session moreso than it falls. Lows and Highs of the day are often put in early in the NYSE, and then the Globex open is certainly telling. The bump on midnight is nothing to take into consideration as this spike is only caused by midnight happening to be in the middle of a trend. Overall, nothing most traders didn’t already know. 🙂
APPENDED: Did the noon restart research, and was quite interested to see that the noon chart has the same affect as the RTH and Globex open charts. It seems to be the place right in the middle of the trend. What to take from that is that you can expect a trend that continues through noon to be strong. For example, if a long trend is happening and the noon candle ends up being the lowest of this period setup, then the trend continued for the entire period after that noon passing.