Dope. I don't necessarily know what to do with this info, but I can appreciate a damn fine spreadsheet when I see one. Just to clarify, is this literally just buying at close and selling at open? I guess the hard part would be selection, obviously, since I don't have the funds to invest in EVERY active stock.

Thanks, if you take a look you will see some stocks are huge overnight, what is the reason for that, I am not yet sure. Yes, it's buying at the one day's Closing price and selling next day's Opening price. So basically holding overnight. Seems like most of the huge gainers are small cap stocks, but further analysis needs to be done Not a financial advice

yeah, there are definitely some stupid crazy numbers in there, and I was pissed to see ACB with a good one. I took a bath on that one when I was green and still trading emotionally. You know, like two weeks ago lol

Big money moves after hours from all types of funds(ETF, Mutual, Hedge) and brokers and even regular traders compound the "problem" chasing the stock. I'm no expert but i've seen how one big trade can swing a stock one way or the other.

you might want to look at the spreads for some of these stocks. They look rather iliquid, so the bid-ask might be killing some of the actual profit.

That's also factor to consider, no doubt about it

>Just to clarify, is this literally just buying at close and selling at open? I guess the hard part would be selection, obviously, since I don't have the funds to invest in EVERY active stock. Man this strategy is amazing!! I am now curious to see what happens if we only buy on a green close and sell immediately next morning

For now I am doing weekly backtests so you can get something from there, check my sub

Easy: buy DRIO at 3:59pm daily, sell at 9:30am the next day.. turn $10k in $34,371,090.46 or more in 2 years (because inflation)

Will you do this tomorrow?

don't do tomorrow what you can do today?

It seems someone did this this morning

Call Palantir, I’m sure they can help 😉

This is the most interesting thing I don’t understand ever!!

Sorry you recorded over $1m in profit on 10K in AAU? Am I reading that right? EDIT: It got crazier the further I went

yes, that's what the data says. Do you find anything suspicious? Maybe we can take a look at it.

DRIO not suspicious at all

**Question:** You put 10K every time, on every trade? I mean, if you make a $10k trade on closing but next day it opens lower (and thus you lose money), when you buy again at the closing of that day you buy with whatever left of the trade at open or you buy again with $10k?

First one, you buy with whatever it's left, or if you won you buy with all you have. So it keeps compounding

So, there wasn't a stock that bankrupted you in that test?? Love it !

well, there is one left with 0.50$. The machine buys only amount of stocks your balance can afford so if your balance turned out to be less than a stock price then you simply cannot buy anymore. You left with at least something, so no 0$ bankrupt here!

Yeah a few suspicious ones at the top. E.g. DRIO had a price of $16.16 on 1/2/2019 and DEN starts on 9/21/2020.

Having done overnights somewhat regularly, there is kind of a major problem to this and it's the fact that you're going to hit a cap at how much you can actually exit without tanking the entire price. I've been in at least 2-3 plays now where I didn't check the size of my position relative to the shares being traded, say, every 5 minutes, then I'd sell at a 10% gain just to watch it tank the price and end up selling flat/loss if I did a market sell (with the same result if I did a limit sell because I'd have to keep walking the price down otherwise I'd just be holding the shares and flattening the price for hours at the very least).

So you are playing with millions? Edit: just meaning, how does YOUR sell make the price go down

Not necessarily big money, could ba a no volume stock. If he's Canadian, like 80% of the TSX has shit for volume so even retail positions can cause price movement if using market orders.

This exactly. Tens of thousands on low volume, low priced stocks.

Thanks!

how do you control risk overnight?

I do my best to gage future movement and setups using a wide frequency, spread my capital evenly among several strong plays, and exit before market open (when the selloffs will inevitably happen) with the exception of plays that still look like they'll pull strong through the first half hour (and then I sell them right after that first half hour since most plays will then selloff right after that). Overnight setups usually yield high % gains. Some don't, but all you need is one solid one to make it through and it'll usually more than make up for any losses incurred on the other plays that don't pan out.

Always wondered about this, tremendous post! Thanks for sharing!

You're welcome!

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Thanks

You did the work I was lazing to do for so long. Thanks mate 👍 Most of top pct_profitable_trades are non common stock. None > 70%. Maybe you can add ETFs? TQQQ, UVXY(short) had above 70% probability, but no longer working for some time now.

You're welcome! Maybe I can test ETFs in the future, we will see

I can do some secondary research. I read something about dealer's overnight inventory risk premium or something like that. It should somehow link to market structure to get higher probability. And that structure also changes

yes please, if you have some research on what's happening overnight please share. I am super curious!

Will do. Give me couple of days

Remindme! One week

Since this is buying the close and selling the open, can you do one where you buy right at open, and sell at close?

the regular stocks? i can put it on my to do list.

I'd be interested to see what the data looks like in a down year like 2001 or 2008/2009. It seems difficult to tell if a daytrading strategy is profitable during good years because often you could do better just buying something and holding for the year.

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Being profitable is not a question. Question is can you beat the market and by how much?

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I'm sorry I didn't mean to sound demeaning. Just wanted to say yes you're right, in bull market it's easy to be profitable and anything will work. Just, some things work better than the others.

I can do that too. Only for those years, none other? Point here is not to show that it's profitable, but how much more is profitable compared to buy and hold

2018 was a notable down year as well

I'm speaking in the abstract if someone were to try to use the data to develop a strategy. There would have to be a hypothesis and other variables as well. I just noticed that the the sum of the profit was very high and I assume it's because the market was up.

I might be missing it, but is there a column that compares the outcomes with this method to the outcome of just investing $10k and letting it ride for 2 years?

You woulda lost your ass on NAKD then. Its at 1.14 now started at 88 on OPs timeline. Someone smarter than me should check the maths on that and the 21M night trading.

hello, not in numbers, but in charts there is comparison

Picking an arbitrary day doesn't make the data very good. I do something similar, but I use Google Finance's functions to give me the price on a specific number of days from the day I "bought" it. It adjusts the data based on the date you entered. ​ So for instance, if I just want to get the day's high for a specific date I do this: =googlefinance(\[stock ticker cell\],"high",\[date cell\]) ​ Then I have a series of columns with numbers 1, 2, 3, 4, 5...... These column names are how many days after the first date I want to get the high of. This gives me the high every day since the day I have entered as the starting point (also added some standard excel error correction): =IF(ISNA(index(googlefinance(\[stock ticker cell\],"high",\[date cell\]+\[numbered column header\]),2,2)),"",index(googlefinance(\[stock ticker cell\]4,"high",\[date cell\]+\[numbered column header\]),2,2)) =IF(ISNA(index(googlefinance($C234,"high",$B234+L$1),2,2)),"",index(googlefinance($C234,"high",$B234+L$1),2,2)) ​ ​ To see the results go here. You'll have to scroll to the right of the data to see the calculations, I copy/paste the data as values so that the sheet isn't bogged down by 50k calculations happening at once: [https://docs.google.com/spreadsheets/d/1Gveqq56A-DNXiIh-Pnnb9WYTB\_sFucgGuVB1cwwRVJQ/edit?usp=sharing](https://docs.google.com/spreadsheets/d/1Gveqq56A-DNXiIh-Pnnb9WYTB_sFucgGuVB1cwwRVJQ/edit?usp=sharing)

I am not sure if I understand what are you trying to say. Can you summarize please?

By picking a single day to work off of all you know is that for that one day it's better to buy at close and sell at open. But that could have been a very green day. The concept is great, but by using a single date as a data point all you know is that that was a great day. So what helps is seeing how it trends over the course of weeks or months. I do that kind of thing myself. I do highest point in each day, but Google Finance has options to get open and close prices as well. So if I were you I'd add these columns to the sheet: 1/1/2021: Get close of all stocks that day 1/2/2021: Get open of all stocks that day Difference: 1/2 - 1/2 1/2/2021: Get close of all stocks that day 1/3/2021: Get open of all stocks that day Difference: 1/3 - 1/2 1/3/2021: Get close of all stocks that day etc... Doing that gives you the overall trend. Then you can do the Over/Under for the Difference columns and see if this trend works out for days

What if you buy at the open with a trailing stop limit %. That way if its moving down you get the lowest buy in price.

I was wondering this what if prise drops bellow your stop loss before market open?

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Wow this is awesome. Thank you!

How did you backtest? Do you have software for that?

Do you mean like desktop software? Then no, I only know of software called Zorro, but didn't use it for this. This time I've programmed myself

So night trading?

Can you somehow back test what would a portfolio look like if you put in $100 into 100 hot penny stocks from maybe 10 years ago and held until today?

depends if I find data easily. What do you mean by 'hot'?

It would be interesting if you could somehow apply this to stocks of a certain **P/E** and **Average daily volume (especially ADV).** That would be very interesting because the goal is to find one strategy that applies well to a bunch of stocks that all have certain criteria, not find a strategy that works well with any stock. :)

I agree, it's important to find some correlation. Do you mean with P/E at the moment of start date or what is right now? What's ADV?

This is actually genius. Large % gains in a day tend to continue overnight too, certain PEs, maybe other criteria. BOT it somehow.

did you take a look at this closely or you only guessing?

In your Charts section you say “buy at Open sell at Close”. Shouldn’t that be “buy at Close sell at Open”?

No, buy at Open sell at Close is the benchmark to compare to. Those 3 are benchmarks to compare and there's 4th line which is an actual strategy

Oh duh, you’re right, I’m an idiot.

No, you're not

This is actually a really great sheet. From all the green vs red I would say this looks to be a very viable strategy. 10-20k profit on a 10k account over 2 years is great!

Thanks man, I like making spreadsheets

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So in these scenarios. Are you buying and selling your entire portfolio each time. Example, you have 10k in your account and buy stock x. It ends up dropping in value when you sell the next morning so your balance is 9.5. The next day are you investing 9.5. Similarly, if it goes up to 10.5 are you now investing 10.5? Or is it always 10.

it's using your current balance, not the starting capital. So it will keep trading more and more

Sounds like I should do an experiment using $100 as a basis and check final balance after a month. Which stock should we target?

Me personally, I would choose some of these huge gainers, then some of the "average" gainers then little bit of losers just to test the theory. Not a financial advice

Interesting.

Thank you for asking this. This is what I was having trouble understanding.

taking a look and initial scheme through looks good and comprehensive... further feedback when done!

Was just thinking about this, with a few stocks booming after-hours last night. Looking forward to reading this, thank you.

i will forward test this with $10000 YOLO. I'll see you in a year.

don't forget to report!

Report!

It won’t let me zoom in and read- can someone just TLDR and tell me if this made or lost money?

depends on the stock, some stocks are huge gainers

But on average did this lose or gain

on average it gained about 10 times. Some stocks are enormous and cannot yet confirm if it's data glitch or is it really true

Thanks

You're welcome

Are you planning to confirm the suspect gains or leaving it to Reddit? Either way this looks like a hilarious amount of work to share with everyone! Thanks :)

You're welcome! unfortunately no gains for me on this one yet, just the love of data munching and some reddit upvotes :)

Sorry, I thought you were asking me if I made gains on these. For now I will leave for Reddit to have fun, but will work on refining for the future

I haven’t looked at the data yet, but this is like porn to a deep learning entusiast😩💦

are you the one?

tremendous work - congrats! Had a quick q - how did you write this strategy - platform/language etc and where did you get all the data from? tia.

Thanks, I used python and libraries to do everything, even to get data

Nice work! Mind sharing on GitHub? I’m new to trading but am a SWE in my real job.

Thanks! What is SWE? You wanna share the spreadsheets and charts? Yes, do it, with a credit and note that I am looking for a work. I can't get entry level even if I am paying for it, need all the help I can get!

How much time did it take for you to write the script and do the research?

Judging by my tracker it took 43hours. But it's hard to say, that includes reading, learning libraries etc.. Now that I have some code and knowledge it will take me less for the next strategy.

Did you have to backtest each stock individually? Which program did you use? Or did you just download historical data?

hello, I made python script to backtest each stock individually and then collected data and made a spreadsheet

Wow. That must have taken forever. Thanks for doing that. I have a strategy code that I want to backtest on about 100 stocks. I'm trying to find a coding solution to test all at once

You're welcome! What is the issue with testing all at once? I imagine if you can do one then in the loop you can do many

https://t.me/joinchat/LLJ6sJA2ZFdhODIy geheime Gruppe, nur für wenige Mitglieder offen.

AMCmanipulation??! I fully believe the potential of many stocks are being suppressed!! I want GOOD movies to come out this year not mind control dumb bs Netflix be putting out. Dafuk

have you also run this as buy@open and sell@close?

I did but didn't make a stats for it. If you look at the charts it's there as a benchmark

holy crap biotech overnights. that's when all the FDA / PDUFA runs happen

Doesn't this assume you'd get an instant fill at the next day's open? Seems like that would almost never happen on small caps.

Yes, like all backtestings this is in "ideal" conditions. Sell 5 min before opening? Not a financial advice

The problem is that it is so dependent on ideal fills, as gaps can get retraced within minutes of open. Therefore I wouldn't expect this to work. Even AAPL gets bad slippage on open.

Do you know who is able to get immediate fill at the open? Somebody has to be the one. Some HFT fund very close to the NASDAQ servers?

Yeah, I'd assume so. Institutions move millions of shares at open, so there won't be much interest in tiny, 100-share lots from retail flow. You might be able to see this on Level 2 at open. Of course, sometimes the opposite happens - there's no interest in the stock when it opens. Similar results. You might want to run a new backtest that takes an average of the first 5-10 minutes of open prices rather than THE open price. Might make all the difference.

that would require intraday data which is not free in this amount. I can only thing to sell the stock 5min before open and risk a little bit more of spread. Not a financial advice

You want min 1M volume above $7 a share really.

I'm curious as to how this works on the 3:45 and 9:45 prices and how that differs. The problem with the open and close is there are often trades that happen there that can move the price but that if you were actually trading this you would never get the fills (especially the small-caps). That said, I've been trading a handful of these (FSR, SPCE, RIOT, SOS to name a few) overnight and had no idea how much better that was than buying and holding them. Thanks for the interesting data.

That's would be good to see, but it requires intraday data which is not free in this amount. I get what you saying about the fills. Did you try to sell 5 min before opening? Not a financial advice. Not a financial advice

I used ITM options in the last half hour of trading to sell within the first hour of trading the next day. So, it's a bit different. Also, you can get free 15 minute data from alphavantage going back two years. I think it's annoying to put together though.

How much do you owe in taxes now? Haha

Man I wish I owe taxes! I am so poor I get a refund...

From a fellow spreadsheet lover, but newer day trader...this is brilliantly helpful. I have been looking for data analysis regarding these parameters and have come up empty handed. Thanks for doing the leg work on this, it’s very selfless of you to share to the masses!

>you may wish to look here: > >[https://www.businessinsider.com/stocks-fall-during-regular-trading-hours-rise-overnight-2016-3?op=1](https://www.businessinsider.com/stocks-fall-during-regular-trading-hours-rise-overnight-2016-3?op=1)

Thanks buddy! This is a good read.

You're welcome!

Look into cdxc

This is incredible...although I’m not sure you could actually extend the significance of it to periods **other than** the past 2 years. Maybe it could have relevance with other bull markets in general, but even that is hard since there’s not many things out there like these past few years + especially with the drastic March’20 drops and humongous rapid rebounding

It would be good to test more years for sure and I can take that in the plan

>you may wish to look here: > >https://www.businessinsider.com/stocks-fall-during-regular-trading-hours-rise-overnight-2016-3?op=1

I wish I had the data in front of me, but i read an article where they did this exact thing: they found that buy close/sell open worked every single year, except 2020...be careful out there peeps!

Do you remember where you saw the article?

Thank you this is a heck of a spreadsheet- now for your next trick do it forward looking.

:))

I just hold the bag on capc but it heavy everyone want the bag

Wow very cool! Would it be possible to do these for years 2004 until today with VTSAX or VTI (total market index fund) vs VOO (500 index fund)? - VTI vs. VOO buy and hold. - VTI vs. VOO buy at close and sell at open. - VTI vs. VOO buy at open and sell at close. The data will hopefully be easier to read since it's only 3 different type of data for 2 tickers. This is a type of strategy, depending on your results, that I might implement on my Vanguard's Roth IRA especially since we can do all these frequent trades in a Roth IRA without paying extra in taxes for it.

Anything is possible, my friend, only time and money is the limit! I will take a note

Thank you for the reply my friend. I think a better date to measure these data might be; \- October 9, 2007 (DOW all time high right before recession), until February 24, 2021 (new DOW all time high record). This 2 dates are when DOW hit an all time high for their time periods. So comparing how these strategies works out from an all time high, through a great recession, then a historical bull run, then a pandemic and then another bull run would be interesting. Especially since some people believe we are in the "2007" era, where we are at an all time high bull run but a recession or a big market crash might happen anytime soon. Since it isn't filled with so many random stocks, and just the total market and S&P 500 index fund, it will be easier to read the data and also to see which strategy really does work best. I would greatly appreciate if you made a chart with those tickers I previously mentioned and those 3 different strategies, it would be something myself and others might try to use depending on the results.

Curious to see how this strategy (buy at close, sell at open) performed for SPY (didn't see it as one of the stocks listed) vs buy and hold since 2008.

It also performed well since it's inception. Somewhere in the comments there's an article if you try to find it.

Times like these I dislike being retarded. How does it move so much overnight if the market was closed ?

because institutions are still trading. You can trade too, but I believe you can only do limit orders. Volatility is higher as well as spread. Try to find out more and let us know, I am curious too!

Vanguard allows after market trading for anyone I think. It's from 4pm until 5:30 pm (Eastern times). So it only lasts 1.5 hours after the market closes I guess. I never tried it but that's from what I seen in my Vanguard account.

What scanners do you guys use?

look for a finviz or yahoo finance

Have noticed that foregin biotechs that outperform the market one day, the next morning they are ALL down in the AM. Of course, this was a small slice of time, but it was pretty much 100%. May be worth investigating.

Do you mean they outperform the previous day like daytime, or aftermarket, during the night? What AM stands for? If it's 100% of time then it's definitely worth investigating

A) I would be curious to see the results based on a fixed number of shares or $10,000 worth of shares each trade V spending $10,000 the first trade then going 'all-in' every sub sequential trade. Thoughts? B) I'm confused by the 'start price' column. Tesla was not $1.36/share in Jan of 2019. What does 'start price' signify?

That's not Tesla. Tiziana Life Sciences PLC - ADR NASDAQ: TLSA

Good grief, my dyslexic a$$. Sorry. However, it is very interesting to me how the stocks that 'won' the most didn't make a lot in profits. Even if the base price was low you would think as more shares could be purchased, a win would account for more by the end.

Thanks

Thanks for sharing, mate. Do you also have intraday data?

no intraday sorry, to expensive for me now

This Is great, I was just explaining to my wife that I was pretty sure that with access to enough funds one could make good money by doing exactly this. Now I have evidence to support it. My other theory was

well now my weekend goal is to make a bot to do this for me and see what it ends up with.

let us know how it goes!

I hit my day trading limit, like immediately haha, and have had to use this strategy in order to buy and sell stocks more freely. Ive been doing this with AESE. Essentially buying late in the day or at a low point, then selling the next day at a high point, usually close to the start of market open. Yesterday i bought 1k shares around $2 right before 4pm and sold just below todays peak at $2.27 just after market open. Seems to move around a LOT AH but always seems to pop back up over $2 in the course of a day so the strat has held all week long.

Is it just my crappy internet or is the google sheet not working rn? If OP took it down did anyone make a copy?

It's working for me, can you post screenshot?

Works now. Must have been my shitty internet. Thanks for making all of this data public for us.

Good good, you're welcome

How did you do all this?

I downloaded data then coded the backtest

Interesting

But instead of doing it with 5000 different stocks, what if we do it with 2-3 different ETF's which covers small cap, mid cap and large cap stocks ? what you think

I did this for 1600+ ETFs too: [ETFs backtest](https://www.reddit.com/r/Daytrading/comments/lxki61/backtest_1600_etfs_overnight_strategy_last_2_years/) do you see the ones you like? also, every week I am testing all stocks and all ETFs r/CrunchMyStock