Buy The Close....Sell The Open $$$
- Thread starter Rickshaw Man
- Start date
The trick with this strategy is knowing when to press.
I've been trying to tell folks about this for the past decade. But they are brain washed by never hold overnight....Idiots.
Rickshaw Man -- I'm a believer with you, brother. Every time I hear someone who says they don't hold overnight I take that to mean that they really don't understand the markets.
Sometime back I read an academic research report basically saying all the market risk premium came before/after hours. Seemed incredible to me with the volume differences. Individual session change moves can get impressive as heck, but I have yet to run across any strategy with any real predictive power to benefit from them.
Curious to see if I could verify this claim from a direct, boots in the mud perspective, I built a quick daily bar strategy in TradeStation that simply computed performance of buying at each Close and selling at the next day’s open. After trying it over numerous timeframes, I couldn’t confirm any numbers with that huge degree of after-hours advantage. Maybe I screwed something up, but it’s pretty straight forward computation.
Anyone else run this test with results that match the first graph above?
Curious to see if I could verify this claim from a direct, boots in the mud perspective, I built a quick daily bar strategy in TradeStation that simply computed performance of buying at each Close and selling at the next day’s open. After trying it over numerous timeframes, I couldn’t confirm any numbers with that huge degree of after-hours advantage. Maybe I screwed something up, but it’s pretty straight forward computation.
Anyone else run this test with results that match the first graph above?
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Yeah. Until the huge drops come, and I mean huge drops, overnight, wiping out in a few days the gains you have made the past few months pulling this strategy. Just look at Rickshaw. He vanished until the beginning of the month, and started trying it again. Sep was a complete wash, and so now here we go again. So we will see the charts that Rick wants us to see.
He never posts a losing chart. Ever.
Every morning when you turn on the CNBC squawk box and see the green numbers before the bell rings, well, of COURSE that was from the overnight action. But just the same, every morning you see the red numbers, that too was from the overnight hours.
It is why nobody ever runs this strategy in some form of fund. Where are all the "Overnight trading" funds making money hand over fist? I have yet to see one posted here.
That's about half the return of the S&P 500, yes?
Some studies were done on that strategy, here for example (article is from Mar. 16, 2009):
https://seekingalpha.com/article/12...-an-advisable-strategy-in-bear-markets?page=3
Great article Tradex!
I had not thought about spreading out to that long of timeframe in my quick tests. Helpful. Tnx!
Micaletti got some chops ...
I had not thought about spreading out to that long of timeframe in my quick tests. Helpful. Tnx!
Micaletti got some chops ...