The 5-day low overnight trading strategy - S&P 500 overnight

In this post, we look at the performance of the overnight session when the S&P 500 opens at a 5-day low but at the same time, the close is higher than the open.

Overnight trading in the S&P 500 historically yields an average return of 0.04% from the close until the next day’s open, making it attractive for mean reversion strategies.

We backtest the following trading rules:

* SPY must open at a 5-day low.

* The close must be lower than the open.

* If 1 and 2 are true, then enter on the close.

* Exit tomorrow's close.

We backtest the trading rules on the S&P 500 by using the ETF with the ticker code SPY from 1993 until today. Below is how it performs (Showed in the image)

We have explained the statistics and trading performance metrics on our website. Check out here >>

https://www.quantifiedstrategies.com/5-day-low-overnight-trading-strategy/