Entry time can be a highly relevant variable, especially for intraday trading. Opens, session overlaps, macro releases and low-liquidity periods can all change market behaviour.
How to create useful groups
Instead of comparing every minute, group trades into periods that make sense for the market: first hour, mid-session, close; Asia, London, New York; before/after a release; or hourly blocks with enough observations.
Metrics to compare
- Trade count.
- Total and average PnL/R.
- Win rate and expectancy.
- Mistakes per trade.
- Plan adherence.
- Costs and slippage when they vary by time.
Do not confuse time with strategy
You may trade one strategy at the open and another at midday. If one time block performs better, cross time with strategy and market before attributing the difference to the clock alone.
Turn the pattern into a measurable rule
If a period shows concentrated mistakes or negative expectancy with enough data, test a time-based rule over a new block of trades and measure the effect. Avoid removing a session because of one bad week.