I have been experimenting quite a bit with major ETFs recently and came across overnight behavior that has been somewhat consistent since 2016. It came from backtests for 3 ETFs that represent major indexes: $SPY, $QQQ, $DIA against the following setups:
$QQQ has the best overnight continuation rate; $SPY - the next day
Disclaimer: Not financial/investment advice.
- 📈 Up Yesterday → Long in the Morning, Sell EOD
- 📈 Up Intraday → Long Overnight, Sell at 9:30 Next Day
- 📉 Down Yesterday → Short in the Morning, Sell EOD
- 📉 Down Intraday → Short Overnight, Sell at 9:30 Next Day
![mo5eirmggjj81.png](/proxy.php?image=https%3A%2F%2Fpreview.redd.it%2Fmo5eirmggjj81.png%3Fwidth%3D2386%26format%3Dpng%26auto%3Dwebp%26s%3D9dc62b8af3f458a59c4807f957d006c0e32c736c&hash=fefb4785756b01dafd8914d003f0e40a)
Strategy Setup
Other Conditions
- $10,000 to trade daily
- Buy at intraday if the condition is met
- Do not trade on early close days
- Market orders
- No Stop Loss in this study
$QQQ has the best overnight continuation rate; $SPY - the next day
![eevhv6gxgjj81.png](/proxy.php?image=https%3A%2F%2Fpreview.redd.it%2Feevhv6gxgjj81.png%3Fwidth%3D798%26format%3Dpng%26auto%3Dwebp%26s%3D6fcacddf4200c5a7b987e0eac56e9833b10df5f8&hash=90ddffda9ad8e3e062878545d11ed60b)
![lv7ep55ygjj81.png](/proxy.php?image=https%3A%2F%2Fpreview.redd.it%2Flv7ep55ygjj81.png%3Fwidth%3D800%26format%3Dpng%26auto%3Dwebp%26s%3D4b91b3225730886f6c50bc6d3d8e83ab04a3aa6b&hash=3e8c7b319dffdc041e465f8c092a7378)
![gv5xq6vygjj81.png](/proxy.php?image=https%3A%2F%2Fpreview.redd.it%2Fgv5xq6vygjj81.png%3Fwidth%3D804%26format%3Dpng%26auto%3Dwebp%26s%3D692750a6562f5e479a2adc13b81b7117976738f4&hash=09dbfc2294e91ec48ab0f674956c8cfd)
Disclaimer: Not financial/investment advice.