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ninjatrader/strategies/overnight
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moshferatu 02f05d8545 Add SPY backtest results for Overnight strategy
2024-09-03 06:21:45 -07:00
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backtest-results Add SPY backtest results for Overnight strategy 2024-09-03 06:21:45 -07:00
OvernightBot.cs
README.md Add SPY backtest results for Overnight strategy 2024-09-03 06:21:45 -07:00

README.md

Overnight Bot

This strategy was taken from chapter 7 of Short Term Trading Strategies That Work (2008) by Larry Connors.

Rules

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

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 necessary for this strategy currently only goes back to 2007 as per my data provider.

SPY

SPY Analysis

SPY Summary