Overnight Trading Strategy In The S&P 500

Last Updated on June 19, 2022 by Quantified Trading

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:

Overnight trading strategy in the S&P 500

In plain English the criteria are like this:

  1. Calculate a 25 day average of the (High minus Low). That is the “ATR”.
  2. Calculate the high of the last 10 days.
  3. Calculate the (C-L)/(H-L) ratio every day (IBS).
  4. 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.
  5. 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

    • 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?