1.8 KiB
1.8 KiB
Overnight Bot
This strategy was taken from chapter 7 of Short Term Trading Strategies That Work (2008) by Larry Connors.
Rules
- Go long SPY on the close.
- 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
200-Day Trend Filter
QQQ
200-Day Trend Filter
