I read this: https://www.quantopian.com/posts/holding-spy-overnight-equals-most-returns-with-half-the-drawdown
these days in which apparently the overnight returns on the spy are better than intraday returns, therefore I tried it out myself with this simple backtest. However, for me, the overnight SPY didn't even get close to the regular SPY. Any idea on what I might be doing wrong?
Thanks,
Mattia
Holding Spy Overnight
In addition, from this paper: http://www.sciencedirect.com/science/article/pii/S1059056016301563
It is shown evidence of higher overnight returns int ETFs, but with lower volatility. Moreover, it appears to be possible to forecast the direction of the first 30 minutes of trading (with a negative relation) and the last 30 minutes of trading (with a positive correlation). However when I modify the previous algorithm (to add the last 30 minutes of trading to the overnight holding for example), the result is even worse. Any suggestion on how to improve my strategy?
Thanks
If you know of an OCD competition, here's my application obsessing over orders, but for those ready, kidding aside, there's some actual useful stuff.
I would wager that everyone can benefit from trying cls_opn_crs() in their own algo to do one thing when an order is opening a position (partially filled) and something different if it is a closing order. Handles both long and short. Took a lot of effort to figure out that complex puzzle. In the bigger picture, probably everyone already knows this is classic overfitting. Incidentally, most of my code is off here using the break, I wanted to beat Luca's result heh.
Please sign in or
join Quantopian to
post a reply.
Need help?
Contact support.
Company
Learn & Support
Notices
Follow Us
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.