Did you use adjusted data for this? It will make a difference as SPY pays a dividend.
Yo Rickshaw, Overnight, Relentless, et al. - SPY all time versus over night
- Thread starter Saltynuts
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Did you use adjusted data for this? It will make a difference as SPY pays a dividend.
What are you talking about? I don't care what Rick's thesis was exactly. I care about finding some alpha. I just found some, not by myself of course, many others, including Rick, have identified it generally in the past. But I quantified it in the SPY context. "Performance bonds" cannot have any impact on this test, this is literally buying and selling the SPY. Like I said, I'll be testing NQ or whatever soon to see how the results work over there.
Nah, shit, I did not. I think yahoo finance has the dividend info as well. I'll try to build that in. Thanks for the catch!
Don't waste your time trying to scratch out meager gains during the U.S. session. Just buy the cash close get some sleep and wake up to profits. The range will continue to dry up during the U.S. day session.".... you should motherfukin' LISTEN...
You are now lost in your own world of trying to prove what has already been proven. But you forget your genesis.
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Yo Rickshaw, Overnight, Relentless, et al. - SPY all time versus over night"
Yo, Dude, the thesis was not on SPY. It was on ES and NQ. They are different animals.
https://www.elitetrader.com/et/threads/midnight-rally.47055/page-125#post-5392635
https://www.elitetrader.com/et/threads/midnight-rally.47055/page-125#post-5392650
You are in over your head with futures. Admit it, and move on. Like Rickshaw should have done years ago.
LOL, I was being funny. I really don't get you dude. I don't give a flying fuk about futures. I'm trying to quantify the benefit, if any, of being bigger in the overnight market than during the day. And its looking like a big one, at least for SPY. That is completely newsworthy. And I bet its not just SPY, I bet its QQQ, or whatever you refer to the NASDAQ is as well. More testing to come. I think you took my OP is trying to clown on you, I wasn't. I was just trying to be funny. I thought that was obvious by the joke at the end. Sorry, I tried.
LOL, I was being funny. I really don't get you dude. I don't give a flying fuk about futures. I'm trying to quantify the benefit, if any, of being bigger in the overnight market than during the day. And its looking like a big one, at least for SPY. That is completely newsworthy. And I bet its not just SPY, I bet its QQQ, or whatever you refer to the NASDAQ is as well. More testing to come. I think you took my OP is trying to clown on you, I wasn't. I was just trying to be funny. I thought that was obvious by the joke at the end. Sorry, I tried.
Rickshaw is trying to establish his shit in Futures. Not ETFs. They are two different animals. Good night, get some rest.
OK, Gary, here is what I did to try and build them in in a short-cut way, the dividend numbers didn't come back in nice orders like they should have from finance yahoo. So here is what I did:
Since its 1993 opening the SPY has paid a total of $76.048 of dividends per share.
Since that same time, the average SPY closing price has been $147.1596.
If you had been in the day session with $100 every day, you would have thus received $51.678 of dividends total ($100/$147.1596)*76.048)).
I then added the $51.678 of dividends to the final account balance upon which I was calculating the IRRs.
So with the dividends added in, the ending balance goes from $1650.81 in the always invested in SPY without dividends (being a 10.32% IRR) to $1667.49 (being a 10.44% IRR).
Still not as good as the investing only at night, and it would not drop the drawdown enough to even come close to the night only investing.
And the day only investing would still be negative or very small positive with a huge drawdown, no bueno lol.
So I continue to believe there is some magic to night investing, and I bet its not only in the SPY.... more testing to come!
I know the calculations above are not perfect, but if there is something fundamentally that sounds absolutely wrong let me know.
Thanks!
EDIT - the above is not going to let the dividends time compound. I don't think that is significant enough to change the overall results to a significant degree (certainly not in the day only investing because you are either losing money or gaining almost no money overall). But maybe at some point I'll build them in more formally.
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But won't futures, which almost certainly track the underlying to a large degree, very likely go up big overnight if the underlying goes up big overnight, and the same on the down side, etc.? I just think they have to track each other in large part. Some difference I'm sure, but come on, you really think the results are going to differ so much that the overall conclusion as to whether the night session or day session makes more $$$ will change? I'm a futures newb but that would sound weird to me.
The original article for the strategy was for SPY, so it's probably valid to test it with SPY as long as entries on ex-dividend dates account for the dividend or all the close and open prices are adjusted for dividends for the test.
https://www.nytimes.com/2018/02/02/your-money/stock-market-after-hours-trading.html
I tested this with prices adjusted for dividends before, and the results were positive but not spectacular.
https://www.elitetrader.com/et/thre...it-loves-the-night.329764/page-3#post-4890098
Remember, not all "underlying" equities have an overnight market, or activity. The overnight value of the CASH INDEX which is what the futures represent, can not be accurately or reliably calculated.
Correct. And here's the thing...
A few minutes ago SPY was trading at 421.12, up 1.83
A few minutes ago, ES was trading at 4213.5, up 14.50
if you had 1 share of SPY, you were up $1.83
If you had 1 ES contract, you were up $725.00
If you had 1 MES (micro contract), you were up $72.50.
Although your conclusion is correct, the actual money values will be insanely different. Our over-complicated zealot, overnight, can not figure out how to normalize that without including performance bond!