MoonlightQuant

Test: spy Monday Jan 2015 - Dec 2019

Filters

Odds Summary

Period	Observations	Avg %	Median %	Positive %	Max Gain	Max Loss	Avg Win %	Avg Loss %	Expected
overnight%	236	0.03 %	0.07 %	56.36 %	3.13 %	-2.24 %	0.35 %	-0.39 %	0.03 %
next_trading_day%	236	0.04 %	0.03 %	54.66 %	4.33 %	-4.20 %	0.48 %	-0.49 %	0.04 %
t1_day_%	236	0.07 %	0.06 %	56.78 %	5.05 %	-3.24 %	0.57 %	-0.59 %	0.07 %

Overnight Returns (Close to next open)

Next Trading Day Returns (Next open to next close)

t+1 Returns (Close to Next Close)

Historical Occurrences