Back to Community
Holding Spy Overnight

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

Clone Algorithm
8
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 5a284d5ad4e7ec456440f9b6
There was a runtime error.
3 responses

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

Clone Algorithm
5
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 5a29066be5b1a844c446d81a
There was a runtime error.

Few changes

Clone Algorithm
5
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 5a2916078c1c35446d078baa
There was a runtime error.

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.

Clone Algorithm
3
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 5a2a46c132cc87445ac57a8a
There was a runtime error.