The Overnight Edge

Take Profit Seasonality on Overnight Trading

About the Author Jeff Swanson

Jeff is the founder of System Trader Success - a website and mission to empowering the retail trader with the proper knowledge and tools to become a profitable trader the world of quantitative/automated trading.

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  • marko says:

    I think the edge is still there. Just need good filters to take it out of the white noise. I’m trying to figure something out of it with patterns analysis and seasonality factors.
    http://nightlypatterns.wordpress.com/

  • BlueHorseshoe says:

    Hi Jeff,

    An interesting article!

    I can immediately think of simple applications . . . take something like the Connors RSI(2) strategy – in theory after a signal is received, it should make more sense to enter long positions at the close, but to defer short positions until the following open. That ought to reduce MAE.

    Another interesting and simple study would be whether greater price excursion (either up or down) occurs during the overnight than the cash session (I think I saw this kind of study on the Steenbarger blog years ago, but wouldn’t necessarily be up to date).

    • Hey BlueHorseshoe, those are some good ideas. I’ve used the enter long positions at the close after a Connors RSI(2) strategy and that has done well for me. I’ve not tested the short side. I like the idea about testing the MAE during the overnight session vs the cash session. I’ll look into that one.

  • I did a very similar analysis on a list of liquid ETFs. Some exhibit a strong overnight edge some don’t. Have a look at the link: http://www.thertrader.com/2014/01/25/overnight-vs-intraday-etf-returns/

    • Thanks R Trader for sharing your results. Very interesting!

    • BlueHorseshoe says:

      Thanks for the more detailed study – I just bookmarked your blog.

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