Overnight Trading Strategy In The S&P 500
Last Updated on June 19, 2022
This article presents an overnight trading strategy in the S&P 500. Overnight means entering at the close and exit at tomorrow’s open. We exit at the next open no matter the price movement during the night session.
We have previously written about other overnight trading strategies plus described the night trading session:
- Night trading strategies (overnight edges/strategies)
- The 5-Day Low Overnight Trading Strategy
- 4 overnight trading strategies in the S&P 500
Overnight trading strategy in the S&P 500
In plain English the criteria are like this:
- Calculate a 25 day average of the (High minus Low). That is the “ATR”.
- Calculate the high of the last 10 days.
- Calculate the (C-L)/(H-L) ratio every day (IBS).
- Calculate a band 2.5 times below the 10 day high using the average from point number 1 (ATR). Ie, subtract number 1 (2.5 times) from number 2.
- If SPY closes below the band in number 4, and point 3 has a lower value than 0.5, go long at the close and exit on tomorrow’s open.
The test period is from 2005 until the present:
| P/L in % | #fills | #wins | Avg % |
| 51.30432 | 273 | 175 | 0.187928 |
Here is the equity curve:
Vice versa for short does not work.
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I applied your strategy with SPY. If I apply it from 2009 it gives good result, however if I start from 2007, there is an extended period for which it gives negative result.
Results when started from 2009
days 6264, fills 0.018519, positives 0.629310, negatives 0.370690, capital 1000->1316.370937
Results when started from Feb 2007
days 9288, fills 0.019811, positives 0.641304, negatives 0.358696, capital 1000->1490.851879
I applied your strategy with SPY.
Results when started from 2009
days 6264, fills 0.018519, positives 0.629310, negatives 0.370690, capital 1000->1316.370937
Results when started from Feb 2007
days 9288, fills 0.019811, positives 0.641304, negatives 0.358696, capital 1000->1490.851879
great stuff! Some of your approaches to technical trading are similar to what I use. Are your books translated to English? Thanks.
Hi Nat,
Thanks for your nice comments, I’ve been reading your site for some months 🙂 Nice work! No, nothing translated into english yet. Perhaps it could be a nice idea, we’ll see in the future.
Oddmund, most of your posts I have been able to duplicate the results, but not this one. It maybe has to do with the calculation of the band. I used: High(10) – (ATR25 * 2.5). Any suggestions on what I might be missing?
I don’t have the calculations in front of me as I’m travelling. Perhaps I used % as ATR, not the value of AR. Perhaps that is the cause?
I’ll give it a try. No problem. Maybe when you’re home you can take a look.