Ready for the drift higher
The Overnight Drift Higher In Index Futures
- Thread starter Roman Candle
- Start date
As usual the index futures drift higher.
If you waited to buy the cash open you basically enjoyed a nothing burger. Gap up sideways. The easy money is made overnight people, before the cash open in NY. Now the wall street journal is reporting we are in a new bull market. These are the fastest bear markets in history.
The overnight edge is small. You only get a sharpe ratio something like 1.4 with some filters up to 2. So it takes many years to build up capital with the overnight edge. Or did you find a good short term model with higher sharpes than 4 here ? I could not find any high sharpes here which worked out-of-sample going walk forward and also in live trading. I mean Thursday is the worst overnight 'day' if you go back. And also August is not a good month for overnight trading when you have backtested it. So it is usually better to avoid those days and months. So do you implement some turn-of-month and Turnaround Tuesday in your overnight trading especially when you do some position sizing here as an example or how do you achieve a high sharpe ratio here if ?
Last edited:
Today's close. Can't wait to see the overnight gang go to work.. Tomorrow morning the financial media will be telling everyone.....LOOKS LIKE A HIGHER OPEN ON WALL STREET....blah blah blah same thing over and over.
Why do you think the overnight edge is good to trade in August ? August is one of the worst month statistically backtested for the overnight edge. How do you assure for yourself a high sharpe ratio here ? Do you really trade mainly overnight edge only ?