Overnight Trading Strategy In The S&P 500

Last Updated on July 22, 2021 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:

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, subtracting 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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