Overnight Trading Strategies In The S&P 500 (Strategies From Close To The Next Open)

In this POST, we explorel trading strategies tailored for short-term gains in the S&P 500. These strategies capitalize on the momentum from the previous close to the next day’s open, boasting minimal drawdowns due to their brief holding periods. Let's see how the strategy unfolds, from identifying new-day lows to leveraging market conditions for optimal returns.

Strategy Overview in Simple Terms:

Criteria for S&P 500 Strategy:

* Calculate a 25-day average of (High minus Low) for ATR.

* Find the high of the last 10 days.

* Calculate the (C-L)/(H-L) ratio daily (IBS).

* Compute a band 2.5 times below the 10-day high using the ATR average.

* Trigger long entry at close if SPY closes below the band and IBS value is below

* 0.5. Exit at the next day's open.

Test Period Analysis:

* P/L in %: 51.30

* hashtag#Fills: 273

* hashtag#Wins: 175

* Avg %: 0.188

Below is the profit curve of the last twist to the strategy.

We have 3 more strategies on Overnight Trading backtested. Check how they performed here >>

https://www.quantifiedstrategies.com/4-overnight-trading-strategies/