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
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
Disclaimer: Not financial/investment advice.
