All market gains since 1993 have occurred after hours

[murray t turtle]

Of course not, and I don't think anyone has suggested that.

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OK, that word ''all'' threw me[ ''all market gains'']

 

[krugman25]

Holding equity markets in the night session does produce positive returns over a several year period. But after commissions and high trading volume it tends to generate single digit annualized returns with an unexciting sharpe, not to mention tail events like the overnight flash crash in August 2017.

This 'edge' has been well known and studied for at least a couple of decades now. All things considered, including transaction costs its hard to beat buy and hold with a 200d moving average.

So I am sure some astute traders have figured out that blindly trading every overnight session doesn't work, and have found certain market conditions where it is more reliable (i.e. "an edge"), which generates more reliable overnight gains woth far less trading volume (and by extension less commissions and fees). And here we are, back to the main purpose of the thread, to see if anyone has and is willing to discuss and present data (hopefully).

 

[murray t turtle]

It begs the question, why is the phenomena present in all markets including foreign markets. When 1 is closed another is open. Many more questions that need answers on this.

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Makes a lot of sense.IF market opened + closed ''all' the time @ same price , 'all'' would want to daytrade, or most would, except the super size whales

 

[krugman25]

%%
OK, that word ''all'' threw me[ ''all market gains'']

All simply means a traditional buy and hold strategy over the 25 year period as the baseline of the study.

 

[Laissez Faire]

Yes, the title is indeed true. Net gains during market hours were down 4% over a 25 year period. Net gains during after market hours were up 600% in that same 25 year period. Hence, all net gains made over that 25 year period came from the overnight session. It's simply the historical data, not anyones opinion.

I just proved it's not true using my own data and the numbers I supplied in that post.

 

[krugman25]

I just proved it's not true using my own data and the numbers I supplied in that post.

Your test has squat to do with the post. #1 this is a 25 year test, not 6. #2, you looked at whether the market closed up or down but not by how much. I didn't know that trading gains were binary based on market close (sarc). I thought if you had two up sessions of 1% and one down day of -20%, you would be down -18%.

According to your study, the market is actually up because there were 2 up days and 1 down day. That's just stupid.

Reread the first post slowely, the study is % gains , not up and down days.

 

[comagnum]

It begs the question, why is the phenomena present in all markets including foreign markets.

Because the markets are much more interconnected these days - globalization & computer driven programs using the futures market to adjust in real-time to new data from the larger GDP countries. Big players typically buy & sell in baskets which have overseas instruments.

Just like when we have a strong day in the U.S. market there is often buying in Asia & Europe as well. Or if say China has a big down move during their regular session on economic data there is typically a sell off on the U.S. & Europe markets when they open.

Some smart traders cash in on this effect in the futures market.

 

[cruisecontrol]

So I am sure some astute traders have figured out that blindly trading every overnight session doesn't work, and have found certain market conditions where it is more reliable (i.e. "an edge"), which generates more reliable overnight gains woth far less trading volume (and by extension less commissions and fees). And here we are, back to the main purpose of the thread, to see if anyone has and is willing to discuss and present data (hopefully).

How likely do you think it is that an "astute trader" is going to reveal anything material about their edges on a public internet forum?

 

[Laissez Faire]

Your test has squat to do with the post. #1 this is a 25 year test, not 6. #2, you looked at whether the market closed up or down but not by how much. I didn't know that trading gains were binary based on market close (sarc). I thought if you had two up sessions of 1% and one down day of -20%, you would be down -18%.

According to your study, the market is actually up because there were 2 up days and 1 down day. That's just stupid.

Reread the first post slowely, the study is % gains , not up and down days.

You're the one who should re-read things slowly (not slowely) and start doing your own research instead of trusting articles you clearly don't understand.

 

[Maverick2608]

So I am sure some astute traders have figured out that blindly trading every overnight session doesn't work, and have found certain market conditions where it is more reliable (i.e. "an edge"), which generates more reliable overnight gains woth far less trading volume (and by extension less commissions and fees). And here we are, back to the main purpose of the thread, to see if anyone has and is willing to discuss and present data (hopefully).

I think that will prove just as difficult as trying to pin down the just 20 days during the last 20 years that have generated the entire market return above the risk free rate.