What Trade Duration Is Teaching Me About Futures
I’ve been trading futures for a while now, mostly /ES (S&P 500 E-mini) and /GC (Gold), and I finally sat down to analyze my trade duration data. The results were eye-opening.
The Numbers
Looking at 381 trades broken down by how long I held them:
| Duration | Trades | Win Rate |
|---|---|---|
| Under 15 sec | 51 | 78.4% |
| 15-45 sec | 89 | 83.1% |
| 45 sec - 1 min | 33 | 84.8% |
| 1-2 min | 50 | 80.0% |
| 2-5 min | 89 | 61.8% |
| 5-10 min | 37 | 32.4% |
| 10-30 min | 23 | 43.5% |
| 30 min - 1 hour | 3 | 66.7% |
| 1-2 hours | 3 | 66.7% |
| 2-4 hours | 1 | 100% |
| 4+ hours | 2 | 100% |
The Pattern
There’s a clear story here: my edge lives in quick trades. Anything under 2 minutes has a win rate above 78%. The moment I hold past 2 minutes, my win rate drops off a cliff—down to 61.8% for 2-5 minute trades, and a brutal 32.4% for 5-10 minute holds.
The bulk of my trades (89 each) cluster in the 15-45 second and 2-5 minute buckets. The short ones are working. The longer ones are killing my overall performance.
What This Tells Me
A few theories:
-
I’m good at reading immediate momentum — When I see a setup and execute quickly, I’m usually right. The initial read is solid.
-
I’m bad at holding through noise — Past 2 minutes, I’m probably second-guessing myself, getting chopped up in consolidation, or watching winners turn into losers.
-
My longer holds might be “hope trades” — That 32.4% win rate in the 5-10 minute range suggests I’m holding losers too long, hoping they’ll turn around instead of cutting them quickly.
The Plan
The data is pretty clear about what I need to do:
- Trust the quick read — If the trade isn’t working within 2 minutes, it’s probably not going to work
- Tighten stops on longer holds — If I’m going to stay in past 2 minutes, I need a much better reason than “it might come back”
- Track why I’m holding — Start noting whether longer holds are planned swing trades or just failed scalps I’m hoping will recover
The small sample sizes on the longer duration trades (1-6 trades each) make those win rates less reliable, but the pattern in the 200+ trades under 5 minutes is pretty convincing.
Time to let the data inform the discipline.