Last half hour momentum

Checked October 2026

Last-half-hour momentum trades the last 30 minutes of the cash session in the direction of the move since the prior close. Baltussen, Da, Lammers and Martens published it in the Journal of Financial Economics in 2021. Backtoast ran it on equity index futures. The published version failed our test, losing 3.3% a year over 4,971 trades.

Backtoast

You pay $99 for two full tests of your own strategy, and a pass is an offer of 30% of the profit Backtoast makes trading it with its own money.

Last half hour momentum

At 3:30 p.m. New York the rule compares price with yesterday's 4:00 p.m. close, so the overnight move counts. Up means long into the close and down means short, and nothing is held overnight. The paper ties it to hedging demand, trades that have to go through near the close in the direction the market has already moved.

The run traded one contract each of ES, NQ, YM and RTY, the four US stock index futures.

The overnight drift is the other short, clock-based index futures trade on this list.

When it works

The paper ties it to hedging that trades with the market near the close, from options dealers who are short gamma (so they buy into rallies and sell into drops) and from leveraged ETFs rebalancing, so it's strongest on big-move days. Traders like it because it's 30 minutes a day with nothing held overnight, and the paper found the same pattern in over 60 futures across stocks, bonds, commodities and currencies. Trading only on days with a large move by 3:30, when that hedging is biggest, is the filter to try, and a draft can test that before you spend a full test.

Origins

Baltussen, Da, Lammers and Martens reported 6.86% a year from 1974 to 2020 across stock index futures before costs, and wrote that ES stays positive at a cost of one tick. It builds on Gao, Han, Li and Zhou's 2018 paper on SPY, which is the stock version. The run is from late 2021 to October 2026.

The run is Backtoast's, from 29 October 2026, after costs.