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eebeb20060
ninjatrader/strategies/overnight
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moshferatu eebeb20060 Add note to documentation mentioning the use of 1-minute bars to work around issue of not being able to enter positions on the close of daily bars
2024-09-03 06:27:31 -07:00
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backtest-results
OvernightBot.cs
README.md Add note to documentation mentioning the use of 1-minute bars to work around issue of not being able to enter positions on the close of daily bars 2024-09-03 06:27:31 -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.

It is not possible to enter positions on the close of a bar in NinjaScript, so I have worked around this by incorporating a 1-minute data series into the strategy and entering on the open of the last bar of the 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 necessary for this strategy currently only goes back to 2007 as per my data provider.

SPY

SPY Analysis

SPY Summary