PARTIAL · sizing
Hypothesis
Volatility has a robust intraday seasonality (Asian / EU / US session overlaps); sizing and stop distances should adapt to the hour.
Math
Average absolute return by UTC hour (vol seasonality):
$$ \bar\sigma_h = \frac{1}{N_h}\sum_{t:\,\text{hour}(t)=h}|r_t| $$
Method
Estimate the intraday vol curve per symbol; scale position size and ATR-stops by the hour-of-day factor.
Results
| Intraday vol seasonality | strong & stable |
| Directional edge | none |
| Stop-distance improvement | real |
No directional edge, but the volatility-by-hour pattern is strong and stable (US open / session overlaps) — adopted to scale stop distances and sizing intraday so a fixed-percent stop is not too tight at 14:00 UTC and too loose at 04:00.
Intraday vol seasonality is one of the most robust patterns in markets. It will not tell you direction, but it should shape every stop and size you set.