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2004issue C071-5

Overnight session entry rules after regular hours

The archive split one instrument into overnight and regular sessions and armed a long after a greater-than-1% rise only when volume was in the top or bottom 30% of an eight-day moving average. Editorial reading: pair yesterday's close-to-range location with that volume-regime filter so entry, the overnight hold, and the next-open exit are one procedure.

  • In 2003, $7.31 of a $12.09 yearly dollar increase occurred in the overnight session rather than the regular session.
  • The rule-based system armed the day after a greater-than-1% rise when volume was in the top or bottom 30% of an eight-day moving average.
  • A close-to-high, close-to-low, and high-to-low spread screen from close to next open produced 190 profitable outcomes in 253 tradable plays, averaging $8.65 on a 100-share purchase.
  • The documented overnight spreading procedure had a 75% success rate in the study, and every such system remains susceptible to failure periods.
Entries in this reading3 entries
Current trackSession analysis42 readingsPairs trading70 readingsRule-based entry292 readings

Overnight and regular sessions were kept apart

The archive measured one instrument across the overnight session and the regular session. In 2003 the instrument's yearly dollar increase was $12.09, and $7.31 of that increase occurred in the overnight session rather than the regular session.

Across 126 trading days starting 30 October 2003, the overnight session produced $6.57 while the regular session produced -$7.12. The instrument's average daily volume was 82.7 million shares over 335 days from 2 January 2003, and the study window ran until the same 335-day endpoint.

Rule-based entry waited on a rise and a volume extreme

Rule-based entry armed the system the day after a greater-than-1% rise when volume was in the top or bottom 30% of an eight-day moving average.

In 2002 to 2003 the rising-price rising-volume setup had 41 observations with overnight-session results of -$9.66, while the rising-price falling-volume setup had 34 observations with overnight-session results of $9.35.

Active and inactive volume pointed to different sessions

On days after active volume above 100 million shares, a 100-share long after a rising or falling market averaged $6.32 overnight over 48 days versus -$1.56 in the regular session over 34 days.

On days after inactive volume below 60 million shares, a 100-share long after a rising or falling market averaged $2.77 overnight over 28 days versus $14.49 in the regular session over 30 days.

A close-to-range screen covered the overnight hold

A close-to-high, close-to-low, and high-to-low spread screen applied from close to next open produced 190 profitable outcomes in 253 tradable plays, averaging $8.65 on a 100-share purchase.

After a wide price departure, 26 of 29 following days advanced. A narrow range was also treated as a subsequent buying condition. The documented overnight spreading procedure had a 75% success rate in the study, and every such system remains susceptible to failure periods.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
5 of 18 in the Session analysis track
20051-4 pp.Next on Session analysisOvernight and regular session execution in Nasdaq 100 namesFourteen highest-capitalization Nasdaq 100 names over 770 sessions from 2 January 2002 to 21 January 2005 summed to a 47.44 percent index weight.
All readings on this track · 18 readings
  1. 1990Constructing a second-hour session residual exponential index
  2. 2000Treat an open limit book as an execution filter
  3. 2002Constructing a long, short, or flat pre-trade checklist
  4. 2003Session-window trims for mechanical day-system evaluation
  5. 2004Overnight session entry rules after regular hours
  6. 2005Overnight and regular session execution in Nasdaq 100 names
  7. 2006The intraday workspace as a combined decision procedure
  8. 2006Same-session trading needs presence and next-signal rules
  9. 2007Session filters for moving-average entry rules
  10. 2008Related-market checklist, session filter, and ATR-scaled stop
  11. 2008After-hours session regimes and the next-day close
  12. 2008Evaluating a next-open entry after one-day corrections
  13. 2010Session range share: currency futures versus the mini index
  14. 2011Dollar travel, afternoon sessions, and a 1:2 first-loss bound in equity-index futures
  15. 2012Last-hour volume breaks with a first-hour exit
  16. 2013Same-session and multi-session trades as one rule-based procedure
  17. 2015Session clock bars from public quote feeds
  18. 2016Session-gated moving-average entry construction
By fieldEntry and exit rules327 readingsBy year2004180 readings
All 42 readings tagged Session analysis
Also on Session analysis5 readings
2007Evaluating same-day opening range entry rules2007Opening-range breakout as one session procedure2008Evaluating a next-open entry after one-day corrections2008Near-end-of-bar confirmation for discretionary entries2012Last-hour volume breaks with a first-hour exit