Revisiting Intraday Momentum

Testing a widely cited strategy, extending the sample, and exploring when the edge is strongest.

Intraday momentum isn’t discussed nearly as often as long-term momentum, yet markets sometimes continue moving in the same direction over short horizons within a single trading session.

A few years ago, researchers proposed that this pattern isn’t simply random noise. They argued it reflects systematic trading flows from market participants who are forced to rebalance as markets move, creating predictable short-term price pressure.

The results attracted considerable attention, but one obvious question remains:

Does the effect still hold today, and is it actually tradable after accounting for implementation costs?

In this post, I test the original idea, focusing on SPY and QQQ, extend the sample well beyond the original study, and test whether the edge has survived out of sample. I also examine whether simple filters improve the strategy and how much transaction costs it can absorb.