MoonlightQuant

Test: spy monday July 2009 to Jan 2015

Filters

Odds Summary

Period	Observations	Avg %	Median %	Positive %	Max Gain	Max Loss	Avg Win %	Avg Loss %	Expected
overnight%	261	0.02 %	0.08 %	56.70 %	1.97 %	-2.76 %	0.38 %	-0.45 %	0.02 %
next_trading_day%	261	0.09 %	0.13 %	57.09 %	3.68 %	-2.16 %	0.55 %	-0.53 %	0.09 %
t1_day_%	261	0.11 %	0.10 %	56.70 %	4.65 %	-3.09 %	0.72 %	-0.69 %	0.11 %

Overnight Returns (Close to next open)

Next Trading Day Returns (Next open to next close)

t+1 Returns (Close to Next Close)

Historical Occurrences