see graph, basically if all you did was buy on the market open
and sell the close, not holding overnight, you would have made no
money over the past 4 years. The vast majority of the gains have
been made in overnight and thus morning gaps higher
Posted by frtaylor on 28th of Dec 2020 at 09:26 am
Buy at 3:59 pm and sell at 9:30 the next morning, then!
Seriously, there has to be a way to craft a system around this. The
SPY system does take advantage of it since it buys at the end of
the trading day and sometimes closes at the open. But what
about shorting? The SPY system takes shorts at the close as well,
not an ideal time.
A system where you're already long but you hedge your long
position by shorting at the open and close the position at the
close of the same day seems like a good possibility. Or just a
system where you go long at the close and sell the next
morning.
I put a spread sheet together to test just that idea over the
past year on the ES. Returns not impressive as you think and the
drawdowns would churn your stomach.
Posted by frtaylor on 28th of Dec 2020 at 11:27 am
That's interesting and a bit surprising I guess. Speaks to the
need for a system that selects the better setups. E.g., avoid going
long when the market has been up more than x days in a row, going
long when the market has been down more than x days in a row. Plus
other filters like divergences and extreme readings. I suppose you
could also trade bullish setups on, say, a 60 min or 15 min chart,
by buying prior to the breakout at the close.
Posted by 2schnauzers on 28th of Dec 2020 at 11:01 am
I actually have been trading a system for the last 3 years that
does this using ES futures. The results are impressive. You can
mitigate the drawdown using judicious stop select. It is seems very
counterintuitive but works.
It's probably the stops that are key. I found that most
everything I made was given back with periodic drops overnight at
times. Will try that. Thanks.
nice Job and taking advantage of that. anyway just nuts how
that's played out, and really it's nothing new. Remember some of
the old graphs I posted on the original SPY system, part of the
reason I had those trades exiting on the next day's open instead of
the close was statistically to take advantage of the overnight
session/morning gaps. I did a search and found those old images I
posted back in 2013, here you go, first images hows results if you
bought every day at the close and sold the next morning on the
open. The second image shows the results if you bought SPY on the
open and sold at the close, LOL it's not even close
it's all about the after hrs baby
Posted by matt on 28th of Dec 2020 at 12:31 am
see graph, basically if all you did was buy on the market open and sell the close, not holding overnight, you would have made no money over the past 4 years. The vast majority of the gains have been made in overnight and thus morning gaps higher
Buy at 3:59 pm and
Posted by frtaylor on 28th of Dec 2020 at 09:26 am
Buy at 3:59 pm and sell at 9:30 the next morning, then! Seriously, there has to be a way to craft a system around this. The SPY system does take advantage of it since it buys at the end of the trading day and sometimes closes at the open. But what about shorting? The SPY system takes shorts at the close as well, not an ideal time.
A system where you're already long but you hedge your long position by shorting at the open and close the position at the close of the same day seems like a good possibility. Or just a system where you go long at the close and sell the next morning.
I put a spread sheet
Posted by brophy on 28th of Dec 2020 at 10:51 am
I put a spread sheet together to test just that idea over the past year on the ES. Returns not impressive as you think and the drawdowns would churn your stomach.
That's interesting and a bit
Posted by frtaylor on 28th of Dec 2020 at 11:27 am
That's interesting and a bit surprising I guess. Speaks to the need for a system that selects the better setups. E.g., avoid going long when the market has been up more than x days in a row, going long when the market has been down more than x days in a row. Plus other filters like divergences and extreme readings. I suppose you could also trade bullish setups on, say, a 60 min or 15 min chart, by buying prior to the breakout at the close.
I actually have been trading
Posted by 2schnauzers on 28th of Dec 2020 at 11:01 am
I actually have been trading a system for the last 3 years that does this using ES futures. The results are impressive. You can mitigate the drawdown using judicious stop select. It is seems very counterintuitive but works.
It's probably the stops that
Posted by brophy on 28th of Dec 2020 at 11:10 am
It's probably the stops that are key. I found that most everything I made was given back with periodic drops overnight at times. Will try that. Thanks.
nice Job and taking advantage
Posted by matt on 28th of Dec 2020 at 11:09 am
nice Job and taking advantage of that. anyway just nuts how that's played out, and really it's nothing new. Remember some of the old graphs I posted on the original SPY system, part of the reason I had those trades exiting on the next day's open instead of the close was statistically to take advantage of the overnight session/morning gaps. I did a search and found those old images I posted back in 2013, here you go, first images hows results if you bought every day at the close and sold the next morning on the open. The second image shows the results if you bought SPY on the open and sold at the close, LOL it's not even close
Pretty amazing.
Posted by brophy on 28th of Dec 2020 at 11:16 am
Pretty amazing.
Posted by law6 on 28th of Dec 2020 at 08:37 am