ninjatrader/strategies/overnight/README.md

# Overnight Bot

This strategy was taken from chapter 7 of [Short Term Trading Strategies That Work](https://moshferatu.dev/moshferatu/short-term-trading-strategies-that-work) (2008) by Larry Connors.

## Rules

1. Go long SPY on the close.
2. Sell on the following open.

It is not possible to enter positions on the close of a bar in NinjaScript.

The strategy works around this by incorporating a 1-minute data series and entering on the open of the last bar each day.

The position is exited on the open of the following day as expected.

## Parameters

**Use Trend Filter**: Whether to use a trend filter to decide when to enter long positions. (Default: false)

**Long Term Trend Period**: The period of the trend filter as measured using a simple moving average. (Default: 200)

## Backtest Results

The backtests in the book ranged from 1995-2007.

The 1-minute data from my data provider necessary for this strategy currently only goes back to 2007.

### SPY

![SPY Analysis](https://static.moshington.com/images/strategies/overnight/spy-analysis.png)

![SPY Summary](https://static.moshington.com/images/strategies/overnight/spy-summary.png)

#### 200-Day Trend Filter

![SPY Trend Filter Analysis](https://static.moshington.com/images/strategies/overnight/spy-trend-filter-analysis.png)

![SPY Trend Filter Summary](https://static.moshington.com/images/strategies/overnight/spy-trend-filter-summary.png)

### QQQ

![QQQ Analysis](https://static.moshington.com/images/strategies/overnight/qqq-analysis.png)

![QQQ Summary](https://static.moshington.com/images/strategies/overnight/qqq-summary.png)

#### 200-Day Trend Filter

![QQQ Trend Filter Analysis](https://static.moshington.com/images/strategies/overnight/qqq-trend-filter-analysis.png)

![QQQ Trend Filter Summary](https://static.moshington.com/images/strategies/overnight/qqq-trend-filter-summary.png)

---
Initial commit of Overnight strategy documentation 2024-09-03 12:47:54 +00:00			`# Overnight Bot`

			`This strategy was taken from chapter 7 of [Short Term Trading Strategies That Work](https://moshferatu.dev/moshferatu/short-term-trading-strategies-that-work) (2008) by Larry Connors.`

			`## Rules`

			`1. Go long SPY on the close.`
			`2. Sell on the following open.`

Trivial formatting change to Overnight strategy documentation 2024-09-03 13:29:46 +00:00			`It is not possible to enter positions on the close of a bar in NinjaScript.`

			`The strategy works around this by incorporating a 1-minute data series and entering on the open of the last bar each day.`
Add note to documentation mentioning the use of 1-minute bars to work around issue of not being able to enter positions on the close of daily bars 2024-09-03 13:27:31 +00:00
			`The position is exited on the open of the following day as expected.`

Add parameters to Overnight strategy documentation 2024-09-03 13:13:28 +00:00			`## Parameters`

			`Use Trend Filter: Whether to use a trend filter to decide when to enter long positions. (Default: false)`

			`Long Term Trend Period: The period of the trend filter as measured using a simple moving average. (Default: 200)`

Add SPY backtest results for Overnight strategy 2024-09-03 13:21:45 +00:00			`## Backtest Results`

			`The backtests in the book ranged from 1995-2007.`

Trivial wording change in Overnight strategy documentation 2024-09-03 13:33:29 +00:00			`The 1-minute data from my data provider necessary for this strategy currently only goes back to 2007.`
Add SPY backtest results for Overnight strategy 2024-09-03 13:21:45 +00:00
			`### SPY`

Use cached backtest result images in Overnight strategy documentation 2024-09-23 15:06:50 +00:00			`![SPY Analysis](https://static.moshington.com/images/strategies/overnight/spy-analysis.png)`
Add SPY backtest results for Overnight strategy 2024-09-03 13:21:45 +00:00
Use cached backtest result images in Overnight strategy documentation 2024-09-23 15:06:50 +00:00			`![SPY Summary](https://static.moshington.com/images/strategies/overnight/spy-summary.png)`
Add SPY backtest results for Overnight strategy 2024-09-03 13:21:45 +00:00
Add SPY backtest results for Overnight strategy using a 200-day simple moving average trend filter 2024-09-03 14:37:04 +00:00			`#### 200-Day Trend Filter`

Use cached backtest result images in Overnight strategy documentation 2024-09-23 15:06:50 +00:00			`![SPY Trend Filter Analysis](https://static.moshington.com/images/strategies/overnight/spy-trend-filter-analysis.png)`
Add SPY backtest results for Overnight strategy using a 200-day simple moving average trend filter 2024-09-03 14:37:04 +00:00
Use cached backtest result images in Overnight strategy documentation 2024-09-23 15:06:50 +00:00			`![SPY Trend Filter Summary](https://static.moshington.com/images/strategies/overnight/spy-trend-filter-summary.png)`
Add SPY backtest results for Overnight strategy using a 200-day simple moving average trend filter 2024-09-03 14:37:04 +00:00
Add QQQ backtest results for Overnight strategy 2024-09-03 14:32:42 +00:00			`### QQQ`

Use cached backtest result images in Overnight strategy documentation 2024-09-23 15:06:50 +00:00			`![QQQ Analysis](https://static.moshington.com/images/strategies/overnight/qqq-analysis.png)`
Add QQQ backtest results for Overnight strategy 2024-09-03 14:32:42 +00:00
Use cached backtest result images in Overnight strategy documentation 2024-09-23 15:06:50 +00:00			`![QQQ Summary](https://static.moshington.com/images/strategies/overnight/qqq-summary.png)`
Add QQQ backtest results for Overnight strategy 2024-09-03 14:32:42 +00:00
Add QQQ backtest results for Overnight strategy using a 200-day simple moving average trend filter 2024-09-03 14:41:33 +00:00			`#### 200-Day Trend Filter`

Use cached backtest result images in Overnight strategy documentation 2024-09-23 15:06:50 +00:00			`![QQQ Trend Filter Analysis](https://static.moshington.com/images/strategies/overnight/qqq-trend-filter-analysis.png)`
Add QQQ backtest results for Overnight strategy using a 200-day simple moving average trend filter 2024-09-03 14:41:33 +00:00
Use cached backtest result images in Overnight strategy documentation 2024-09-23 15:06:50 +00:00			`![QQQ Trend Filter Summary](https://static.moshington.com/images/strategies/overnight/qqq-trend-filter-summary.png)`
Add QQQ backtest results for Overnight strategy using a 200-day simple moving average trend filter 2024-09-03 14:41:33 +00:00
Initial commit of Overnight strategy documentation 2024-09-03 12:47:54 +00:00			`---`