Last Updated on January 13, 2022 by Oddmund Groette
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 %|
Here is the equity curve:
Vice versa for short does not work.
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