MoonlightQuant

Test: Testing SPY Weekend - All dates

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This is a long term test of the overnight session in SPY over the weekend (Friday night to Monday).

Odds Summary

Period	Observations	Avg %	Median %	Positive %	Max Gain	Max Loss	Avg Win %	Avg Loss %	Expected
overnight%	1453	0.05 %	0.07 %	58.50 %	6.07 %	-10.45 %	0.42 %	-0.48 %	0.05 %
next_trading_day%	1453	0.00 %	0.03 %	53.68 %	7.97 %	-7.47 %	0.60 %	-0.69 %	0.00 %
t1_day_%	1453	0.05 %	0.06 %	55.33 %	14.52 %	-10.94 %	0.78 %	-0.86 %	0.05 %

Overnight Returns (Close to next open)

Next Trading Day Returns (Next open to next close)

t+1 Returns (Close to Next Close)