MoonlightQuant

Test: spy ytd

Filters

Odds Summary

Period	Observations	Avg %	Median %	Positive %	Max Gain	Max Loss	Avg Win %	Avg Loss %	Expected
overnight%	111	0.00 %	0.00 %	50.45 %	1.33 %	-1.49 %	0.42 %	-0.44 %	0.00 %
next_trading_day%	111	0.14 %	0.07 %	54.95 %	2.40 %	-2.05 %	0.70 %	-0.55 %	0.14 %
t1_day_%	111	0.13 %	0.07 %	55.86 %	2.29 %	-2.01 %	0.79 %	-0.70 %	0.13 %

Overnight Returns (Close to next open)

Next Trading Day Returns (Next open to next close)

t+1 Returns (Close to Next Close)

Day Of Week Seasonality

Historical Occurrences