8 Comments

  1. Amnon
    January 31, 2020 @ 1:33 am

    Hi,
    Can you explain What is overnight trading?

    Reply

    • spintwig.com
      January 31, 2020 @ 5:55 am

      Certainly! Overnight trading in this context is opening a position at the closing bell and closing the position at the opening bell. Then repeat each trading day.

      Reply

  2. JEI
    February 7, 2020 @ 3:46 pm

    Yarg, this is super interesting.

    Questions:
    * Does this hold for QQQ, IWM, etc?
    * I’ve heard that Mondays are the worst days for the market. Are there particular days that are better or worse?

    Reply

    • spintwig.com
      February 7, 2020 @ 11:51 pm

      Those are great questions! I never considered backtesting other indices or looking at results based on the day of the week. I’ll add those to the list and expand on the existing SPY research. Heck, I may even build an entire portfolio of studies on equities. Stay tuned…

      Reply

      • JEI
        February 8, 2020 @ 1:21 am

        I’ve been using a momentum strategy to buy calls in my IRA, and so far it’s been pretty successful. I’m in there every day, so it wouldn’t be much work to buy calls at the close and sell them at the open, but buying leveraged etfs would be a lot cheaper commission wise.

        The backtester I use only has close of day data though.
        https://tm.cmlviz.com/index.php?share_key=20200207221626_5Pzifua8NwPH3drW

        Unfortunately, I don’t have the cajones to hold winners as long as the backtest says to, so I cap my gains.

        Reply

  3. tom
    February 9, 2020 @ 8:35 pm

    Great work and I’d like to see more! It seems that holding overnight avoids price failure during the day back in Y2K, 08-09, last winter. Wouldn’t that mean that shorting the open and buying the close would be the opposite? One lady only holds the weekends.

    Reply

  4. M. Bison
    January 20, 2021 @ 11:55 am

    Spintwig – great work on this article. Do the accretive overnight results hold for more recent times? I.e., if we looked at the last 7 or 10 years only, has this return profile evolved overtime?

    The reason I ask is because I noticed the yellow (SPY Buy & Hold) and blue (overnight) lines converged most recently on your “Return Profile” graph. Thus, I am trying to discern whether this phenomenon of outperforming overnight returns still holds OR has the market figured this out since.

    Reply

    • spintwig.com
      January 20, 2021 @ 9:51 pm

      Thanks! The return profile has indeed evolved. The trick is discerning between a period of underperformance and an actual loss of edge.

      Take AAPL for example. There was a reversal of the overnight outperformance in 2016 per https://spintwig.com/aapl-long-day-trade-equity-backtest/#Discussion

      At a glance, it appears there was a similar reversal with SPY in 2016 but subsequent years don’t look as bad as the AAPL example.

      Reply

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