Anyone familliar with intraday momentum? There's a heavily downloaded paper on it on SSRN; see Intraday Momentum: The First Half-Hour Return Predicts the Last Half-Hour Return.
I haven't found anything else on the web, except for a small description of the paper here (external link).
What's your take? Sensible intraday ETF trading strategy?
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Re: Intraday momentum
I tried replicating this strategy and it does well historically. However, in recent years I have not found it very effective. Probably, it has stopped working now.