S&P Overnight Trading Model

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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  • Marco says:

    Nice post Jeff! This is what I daily do with my trading system development at https://nightlypatterns.wordpress.com
    You can go deeper with it by adding some others quite common filter like Scott Andrew’s Zones. He uses them in his gaps trading but I realized they work fine with overnight trading too.
    You can build a follow though with them.
    I would like to improve my nigts timing with SPY 15 minutes data. Can you help me?
    You can reply me here: nightlypatterns@hotmail.com

    • Thanks Macrco. Glad you liked it. I’ve seen Scott’s zones for gap trading, but never thought to use them for overnight trading. Thanks for the idea. Are you looking to use your 15-minute data along with your daily data?

      • Marco says:

        I would use 15-minute data to backtest the entries and exit better. If it’s better taking the night trade 15 minutes or half an hour before or exiting a quarter or half an hour later than the open. Just to better fine tuning my trades.
        I just lack the 15 minutes historycal data set for SPY.
        Could you send it to me if you have it? Maybe in a zipped cvs file? It would be a great help for me.
        And if you have any advice/questions on my trading just ask!

  • I am very interested in S&P Overnight Trading Model. I am a new Trad station customer and would like to incorporate this system into my account. Can I used leveraged ETF;s = SPXS for this system instead of e-mimi ?

    What do you charge for you service ?

    • Unfortunately I don’t provide any service to help customize code or integrate strategies into personal portfolios. I will say this, the strategy will most likely work with ETFs, but may require modification. Also, the strategy should not be traded as-is. Strategy provided it is a full and complete system ready to trade. Most people who read these articles are interested in taking ideas presented and building trading systems from these ideas to suit their own personal trading goals. If you would like to incorporate mechanical strategies into your personal trading account I would suggest first becoming familiar with your TradeStation platform. Learn how to backtest, become familiar with some basic coding. I think it’s very important for you to learn how to create basic strategies and/or backtest strategies.

  • Rick says:

    I have had similar questions for quite some time looking at the various strategy models you have presented, but I finally have to voice it –

    Why would I want to use a model that provides an annualized return of only 2.5%?

    • Rick says:

      Nevermind. You kinda-sorta answered it in your previous reply.

    • That’s a good question and one that I get on occasion. The confusion has to do with believing the trading rules, as stated above in this example, are all that determines rate of return. However what’s missing is a position sizing model. A position sizing model can dramatically improve the return of the system. It’s completely possible to have two identical trading systems, thinking the same trades on the same market yet, produce different returns. The only difference between the two systems is the position sizing model. This would actually make for a great topic in a future article. Thanks!

      • Rick says:

        I understand that position sizing will tell me how much to wager on a given equity. So if I wager more, I will have a larger profit (or larger loss) but won’t it still be 2.5% annualized?

        • The short answer is no. Correct position sizing will most often increase returns. In some cases, dramatically.

          • Rick says:

            Then I look forward to your article on position sizing.

  • Agustin Gonzalez says:

    Hi Jeff,

    I find this article very interesting and I wanted to test it my self, I have one issue though. I can´t get TradeStation to make daily bars that have the session times of a stock, meaning 9:30 to 16:00. if I use daily bars TradeStation doesn´t allow to make a custom session. E-mini has a 24 hour session so if I use the code I downloaded here the difference from the close of a bar to the open of the next is just an hour difference. I can code it with times but then the filters become very complicated, the ideal thing would be to use it like you in you example screen. Can you help me ? It´s probably something simple but I can´t seem to find how…

    • Hello Agustin. I’ll have to look into this, but I think you simply use the regular session for stocks. This is the period without the pre-market or post market sessions. When I get some time today, I’ll take a look at this strategy on a stock.

  • JeffM says:

    My testing shows if you use RSI(2) as a weakness filter instead of the daily range you get better results. The short side of this system also works.
    //Trigger = (Close – Low)/(High – Low) < Trigger_Level;
    Trigger_long = RSI(Close,RSI_Lookback) < RSI_Lower;

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