52 lines
1.8 KiB
Markdown
52 lines
1.8 KiB
Markdown
# 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
|
|
|
|
|
|
|
|
|
|
|
|
#### 200-Day Trend Filter
|
|
|
|
|
|
|
|
|
|
|
|
### QQQ
|
|
|
|
|
|
|
|
|
|
|
|
#### 200-Day Trend Filter
|
|
|
|
|
|
|
|
|
|
|
|
--- |