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Overnight returns with momentum strategy

This is a strategy that takes a long position overnight .
Stocks are selected on the cumulative returns over the year, skipping the month before portfolio is selected.
We choose top 10 stocks and trade in only one direction (long)
Strategy seems to perform well over 2004-2018
Any suggestions are welcome.
Thanks in advance!

1 response

This is a backtest of this strategy with 1000000 capital.
Returns have decreased, but still high