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2005issue C071-4

Overnight and regular session execution in Nasdaq 100 names

The archive workflow split fourteen Nasdaq 100 names into an overnight-trading-session and a regular-trading-session. Session-analysis, seasonal-trading, and rank-rotation then ranked which names to execute or skip after the open.

  • Fourteen highest-capitalization Nasdaq 100 names over 770 sessions from 2 January 2002 to 21 January 2005 summed to a 47.44 percent index weight.
  • Overnight-trading-session and regular-trading-session dollar results showed a strong inverse correlation of r equals -0.785.
  • Eleven of the fourteen names plus the index-tracking-stock failed to post same-sign profitability in both sessions. The three highest-returning names were the exceptions that gained in both.
  • Regular-trading-session results differed after a rising overnight-trading-session versus a falling one, so the procedure qualifies names by the session-pattern test and uses rank-rotation as ranking and index weight change.
Entries in this reading3 entries
Current trackSession analysis42 readingsRank rotation86 readingsSeasonal trading130 readings

Two auctions instead of one close

The archive workflow treated each name as two prints rather than one close-to-close path. Session-analysis separates the overnight-trading-session from the regular-trading-session so each auction can be judged on its own volume, spread, and implementation cost.

The overnight-trading-session is the gap return measured from the prior close to the next regular-session open. The regular-trading-session is the regular-hours return measured from the opening print to the same-day close. An extreme-overnight-gain is an overnight rise larger than plus one percent. An extreme-overnight-loss is an overnight decline larger than minus one percent.

The studied set was the fourteen highest-capitalization Nasdaq 100 names over 770 sessions from 2 January 2002 to 21 January 2005. Those names summed to a 47.44 percent index weight.

What flipped between sessions

Across the 770-day sample, overnight and regular-session dollar results for the studied names showed a strong inverse correlation of r equals -0.785. Eleven of the fourteen names plus the index-tracking-stock failed to post same-sign profitability in both the overnight-trading-session and the regular-trading-session.

The three highest-returning names in the set were the exceptions that produced gains in both sessions and therefore did not follow the overnight-versus-regular flip.

A $10,000 starting stake in each of the fourteen names on 1 January 2002 averaged $17,196 after 770 trading days, while the index-tracking-stock finished at $9,329.

Regular-trading-session results differed materially after a rising overnight-trading-session versus a falling overnight-trading-session, so a close-to-close total conceals which auction produced the move.

Overnight versus regular-session dollar P&L in the 14 largest Nasdaq 100 names

Names that lost money in the cash session were green overnight, while the strongest cash-session names were often red after hours. Use that split to decide which book to trade after the open. Dollar figures are the article's 770-day results on a 100-share long from the session-split table covering 2 January 2002 through 21 January 2005.
Names that lost money in the cash session were green overnight, while the strongest cash-session names were often red after hours. Use that split to decide which book to trade after the open. Dollar figures are the article's 770-day results on a 100-share long from the session-split table covering 2 January 2002 through 21 January 2005.Nasdaq 100 (14 largest names and QQQQ) · 770 trading days · 2002-01-02T00:00:00.000Z to 2005-01-21T00:00:00.000Z

Results are stated for a 100-share long. Several zero overnight prints mean the two session columns need not sum to the buy-and-hold path. QQQQ is the index tracker, not one of the 14 names.

Qualifying names and rotating the set

Seasonal-trading makes a rising or falling overnight book a testable condition for entry, exit, or abstention. Rank-rotation then replaces names in the tradeable set as their session-qualification ranking changes, rather than locking the procedure to a fixed ticker list.

The procedure is specified as qualifying whatever names currently meet the session-pattern test, then rotating newer names in as ranking and index weight change.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
6 of 18 in the Session analysis track
20061-4 pp.Next on Session analysisThe intraday workspace as a combined decision procedureIntraday analysis is short-horizon probability work that privileges present conditions over an extended outlook.
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 fieldAuction and volume75 readingsBy year2005167 readings
All 42 readings tagged Session analysis
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