34 lines
1.1 KiB
Markdown
34 lines
1.1 KiB
Markdown
# Overnight Bot
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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.
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## Rules
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1. Go long SPY on the close.
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2. Sell on the following open.
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It is not possible to enter positions on the close of a bar in NinjaScript.
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The strategy works around this by incorporating a 1-minute data series and entering on the open of the last bar each day.
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The position is exited on the open of the following day as expected.
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## Parameters
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**Use Trend Filter**: Whether to use a trend filter to decide when to enter long positions. (Default: false)
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**Long Term Trend Period**: The period of the trend filter as measured using a simple moving average. (Default: 200)
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## Backtest Results
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The backtests in the book ranged from 1995-2007.
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The 1-minute data from my data provider necessary for this strategy currently only goes back to 2007.
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### SPY
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