Yo Rickshaw, Overnight, Relentless, et al. - SPY all time versus over night

[tiddlywinks]

And not to be forgotten are all the circuit breakers that have been enacted since 1987!

Of note that affects the analysis, are overnight circuit breakers. Should he include those too??

And what about liquidation policy differences between futures brokers/FCMs? Maybe he could make a business out of this, offering one analysis dependent on the broker/FCM a trader uses.

 

[atxnfo]

I don't apparently lol. So I'll model what I put in my last post, probably tonight, and post results.

If you do get the chance, it would be great to see the results if you added some modifier to avoid bear trends, like only take the overnight if the SPY is above the 50 daily MA or 100 MA

 

[Saltynuts]

LOL tiddlywinks, sometimes Overnight has bad days when he is not firing on all cylinders lol.

atxnfo, agreed, I like that idea and will model it eventually. All ears for stuff to try to get us even more alpha.

 

[Overnight]

Geezus... you have a knack for over-complicating even the simplest shit!!

First, the analysis he did is session close to next session open.

Secondly, there is no "time" affect with futures that affects the tick value of a contract. The tick value of a contract is fixed! It is the same value on the last day of trading as it was on the day the contract was first listed...

Tell that to the TF-CME to TF-ICE-to RTY-CME transitional phase. The tick value changed, from $10 per tick to $5 per tick. Not too long ago, either.

 

[tiddlywinks]

LOL tiddlywinks, sometimes Overnight has bad days when he is not firing on all cylinders lol.

When it comes to trading related, to his detriment, he uses an advanced-stage confirmation bias.

 

[Overnight]

...

And what about liquidation policy differences between futures brokers/FCMs?...

That would be a valid analysis, because there are differences. Just use IB's ever-changing performance bond requirements for simplicity, lol!

 

[tiddlywinks]

Tell that to the TF-CME to TF-ICE-to RTY-CME transitional phase. The tick value changed, from $10 per tick to $5 per tick. Not too long ago, either.

CME did it with Euro futures too... chopped the tick in half to .00005.

I remember reading about it for several weeks prior to becoming effective.

 

[Saltynuts]

If you go flat on the Open you'll miss out on the gains happening in the day session, too. In a trending market you will usually have about 60 % of the day sessions closing higher on the day.

https://www.elitetrader.com/et/threads/midnight-rally.47055/page-118#post-5362356

So, here is the deal. I just ran the same test for the same time period, but where you buy every OPEN, sell every CLOSE, to see what your day action would be. You know the results?

For a $100 invested you would end up with.... ... ... wait for it ... ... ... ... $95 at the end of that long like ~28 year run! DOWN FREAKING FIVE BUCKS!!!

And you know what your max drawdown would be? 68.49%!!!!! Freaking HORIBBLE!

Moral of the story: but 10 seconds before close each day, sell 2 seconds after open each day, profit like a smooth m'fukn criminal....

 

[Saltynuts]

Do these findings mean that intraday only (scenario 3 - scenario 1) is only worth 59% over 28 years? That's interesting as well. So overnight only in a tax deferred account this strategy looks good.

See my post right above to LF just now - does that answer what you were getting at?

Yep, overnight in tax deferred seems an awesome choice.

 

[Overnight]

See my post right above to LF just now - does that answer what you were getting at?

Yep, overnight in tax deferred seems an awesome choice.

You forgot Rick's thesis. It is on ES/NQ, and it is not investing. It is trading. You are losing sight of the experiment. Most people do, which is why there is no such thing as an overnight fund. There are performance bonds to consider. That is wholly different than SPY, which is an ETF. Stop trying it with $100 on SPY.