"The fundamental uncertainty of trading is highest in daytrading the stock
market—particularly index futures such as the SP/ES and ND/NQ. This is because
markets are nonstationary on an intraday basis—almost without fail. Markets are most
volatile early in the day’s trading, retreat to lowest volatility in early afternoon, and then
pick up volatility toward the close (only to plunge in volatility during Globex trading). It
is rare indeed that the distribution of price changes from 09:30 – 11:30 AM ET will
match those of 11:30 AM – 13:30 PM ET. Using the same indicators and indicator
values in morning trading as in early afternoon and Globex sessions is a sure road to the
poorhouse. Conversely, identifying regime change and valid relationships with each
intraday regime shift requires a nimbleness—and an ability to control losses—that most
traders lack."

So, true! Thanks, Billy.

I did some searching and was not able to find much about the methodology (without reading the Sherry book yet). If anyone knows of or has an idea how to implement a test for non-stationarity within a trading platform, please post here. The necessity of iteration will whittle the candidate platforms down (unless a dll is used), but TradeStation and eSignal are viable.