Is there an edge in the overnight effect and if is there is one, how large it is? Is the edge tradable? In this article we measure the overnight edge of a group of stocks where this anomaly has been strongest historically and then we provide answers to these questions. Access to full article requires premium articles or All in One subscriptions.
There have been several free and premium articles about the overnight effect in this blog in the last 10 years in the case of SPY ETF but also about other ETFs and individual stocks. This price action anomaly/inefficiency became widely known about two years ago when there was a significant reversal due to the 2020 crash.
In an article in October 2020 I showed that when commissions and slippage are taken into account, the effect in SPY ETF has not been profitable.
In another article I have shown that even after commissions, the overnight effect in AMZN has provided an edge from 01/02/2015 to 07/27/2021.
In this article I identify the stocks with persistent overnight effect historically and then compare the combined effect to buying and holding the stocks and also to S&P 500 total return buy and hold. Below are the results.
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Specific disclaimer: This report includes charts that may reference price target levels determined by technical and/or quantitative analysis. No updates to charts will be provided if market condition changes occur that affect the levels on the charts and/or any analysis based on them. All charts in this report are for informational purposes only. See the disclaimer for more information.
Disclaimer: No part of the analysis in this blog constitutes a trade recommendation. The past performance of any trading system or methodology is not necessarily indicative of future results. Read the full disclaimer here.
Charting and backtesting program: Amibroker. Data provider: Norgate Data
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