The best time at market open to initiate a long penny stock position

In our strategy description Buy time is specified as an interval between 9:30 and 10:00am.

Exact entry depends on multiple factors, such as a position size and activity in the beginning. Symbols with relatively low trading volume we try to enter in several steps (several orders) with 1-3 minute intervals if conditions allow to do so. We do this to avoid affecting the price by our own trades and increasing bid-ask spreads that has very negative impact on strategy profitability.

Also, we don't want others to duplicate our entry time and create the same problems mentioned above.

Finally, as we are trading on the long side only, we avoid buying early IF stock price is going down. We are looking for at least 2 (better 3) 1-minute bars closing higher OR at least not closing lower. Early volatility should be avoided unless there is a healthy gap up confirmed by a decent volume and broad long interest.

However our readers keep asking what is "the best time to initiate long penny stock position" (within 9:30am-10am interval, of course, based on our Strategy)

I looked into all 368 trades we had in 2010. Here is a histogram I quickly run in Minitab stat software. Histogram is divided into 5 min intervals between 9:30am and 10am. Y-axes is percentage of trades for each 5 min interval.

So, with more than 55% of probability we can say that we enter a trade before 9:40am (28% before 9:35am, plus 27% before 9:40am)

And only 5% chance that we enter closer to 10am.

Hopefully it clarifies and at least partially answers the question - what is the best time during the morning market open time (before 10am) to buy penny stocks.

Generally speaking, there is no right or wrong answer. Entry is just one ingredient of the "formula", and we don't think the most critical one. This distribution is what naturally developed over time, what works for us, and it is a part of the set-up that delivers ~40% profitable trades with an average profitable trade 2x-5x times higher than an unprofitable trade.

It's all just a statistics ;-)