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Overnight as an indicator

From this paper: http://www.sciencedirect.com/science/article/pii/S1059056016301563
It appears to be possible to forecast the direction of the first 30 minutes of trading (with a negative correlation with the overnight ETF).

In my backtest I go short in the first 30 minutes of trading, but I really can't figure out how to make an indicator out of the overnight return. For example: if yesterdays overnight returns are positive, I want to go short in the morning and vice-versa. I feel like it's a silly way to get stuck, but does anyone have any hint/solution?
Thanks a lot!

2 responses

Maybe something like this?

Hi Dan,
Thanks it is exactly the example I have been looking for!