# 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](./backtest-results/spy_analysis.png)

![SPY Summary](./backtest-results/spy_summary.png)

#### 200-Day Trend Filter

![SPY Trend Filter Analysis](./backtest-results/spy_trend_filter_analysis.png)

![SPY Trend Filter Summary](./backtest-results/spy_trend_filter_summary.png)

### QQQ

![QQQ Analysis](./backtest-results/qqq_analysis.png)

![QQQ Summary](./backtest-results/qqq_summary.png)

#### 200-Day Trend Filter

![QQQ Trend Filter Analysis](./backtest-results/qqq_trend_filter_analysis.png)

![QQQ Trend Filter Summary](./backtest-results/qqq_trend_filter_summary.png)

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