Intraday and Overnight Trading
Day trading strategies, intraday momentum and the split between overnight and daytime returns.
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- SPY by Day of the Week and Overnight SPY overnight returns exceed intraday returns on average but effect is unstable across subperiods (Jan 1993-Aug 2017; close-open vs open-close returns; 6,188 observations with Tuesday showing strongest differential).
- Day Trading with an Opening Range Breakout Strategy A 5-minute opening range breakout day-trading strategy on QQQ (long/short after first 5 minutes; 1% risk per trade; daily exit) outperformed buy-and-hold QQQ (33.2% vs 14.9% CAGR; Jan 2016–Feb 2023; 1,795 trades; zero slippage assumed).
- Complex Intraday Time Series Momentum Strategy Applied to SPY Volatility-targeted SPY intraday momentum (noise-boundary breakouts checked at HH:00/HH:30; VWAP-based trailing stops; flat at close) produced 19.6% net annualized return, 1.33 Sharpe, -25% max drawdown (May 2007–Apr 2024; assumed trading frictions; in-sample).
- Intraday U.S. Stock Market Behavior SPY exhibits weak mid-afternoon decline patterns and higher volatility near open/close versus midday (2007-2008; one-minute prices; average returns too small to exploit as standalone strategy).
- Intraday Versus Overnight Option Returns S&P 500 delta-hedged options show negative overnight returns (-1.0%) and positive intraday returns (+0.3%), driving the overall -0.7% risk premium (Jan 2004–Apr 2013; bid-ask midpoints; gross returns).
- Daily, Overnight and Intraday VIX Tendencies VIX exhibits predictable patterns with Monday levels averaging 0.40-0.72 points higher and weekend overnight changes five times larger than weeknights (0.68 vs 0.12; Jan 2005–Jun 2010; minute-level data).
Overnight vs. intraday returns
17 articlesClose-to-open versus open-to-close returns.
- Exploit Stock Volume Spikes Overnight? Stocks with the highest same-day volume shocks (open-to-close volume vs. 60-day half-life EMA) had higher subsequent overnight returns, but not next-day returns: 71% equal-weighted vs 17% value-weighted gross annualized (2000–2022;…
- Live Test of the Stock Market Overnight Move Effect (Final) NightShares overnight ETFs NSPY and NIWM trailed their benchmarks SPY and IWM, with negative average daily returns but lower volatility (June 28, 2022–July 31, 2023; daily total returns; both funds…
- Overnight Effect Important for Investors? The overnight-minus-intraday return gap in stock index ETFs and some individual U.S. stocks weakened over the past 5-10 years (1995-May 2022; 5-year rolling gross long-short returns on SPY and S&P…
- Intraday and Overnight Return Momentum and Reversal Signals Past intraday returns predict short-term reversal and momentum (gross monthly 3-factor alphas of -1.41% and 1.17%), while past overnight returns predict only long-term reversion (-0.45%) (U.S. stocks, 1963–2019; decile hedge…
- Overnight Effect Across Asset Classes? Overnight (close-to-open) returns exceeded open-to-close returns for most non-equity ETFs, strongest for EMB and VNQ and absent for TLT and EFA (SACEMS ETF proxies; Dec 2007–Mar 2022; gross of trading…
- Combining Overnight and TOTM Effects A SPY turn-of-the-month close-to-open strategy (long close-to-open only during TOTM, cash otherwise; eight round-trips monthly) earned 0.0% net CAGR with -39% MaxDD at 0.06% friction per round-trip (Feb 1993–Feb 2022;…
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- Persistence of Overnight/Intraday Equity Market Return Patterns Overnight returns exceeded intraday returns in 20 of 21 major stock indexes, with China the lone exception, and overnight accounted for nearly all cumulative gross returns (Jan 1990–Dec 2021; close-to-open…
- Middle-of-the-Night Stock Market Gains S&P 500 futures show 3.6% annualized return during 2-3am ET but turn negative after bid-ask spreads, while 8:30-10am ET averages -3.9% annually (1998-2018; hourly return decomposition).
- Recent Overnight-Intraday Stock Return Correlations Overnight-intraday stock return reversal weakened over 2011-2017, disappearing among S&P 500 stocks while persisting only in smaller stocks (broad U.S. stock sample; correlation analysis).
- SPY by Day of the Week and Overnight SPY overnight returns exceed intraday returns on average but effect is unstable across subperiods (Jan 1993-Aug 2017; close-open vs open-close returns; 6,188 observations with Tuesday showing strongest differential).
- Intraday Versus Overnight Option Returns S&P 500 delta-hedged options show negative overnight returns (-1.0%) and positive intraday returns (+0.3%), driving the overall -0.7% risk premium (Jan 2004–Apr 2013; bid-ask midpoints; gross returns).
- Overnight/Intraday Return Reversal Trading CO-OC reversal strategy (long/short based on overnight returns, capturing intraday returns) outperformed CC-CC (1.68% vs 0.33% average daily gross return; Sharpe 24.16 vs 5.52; US stocks Jan 1993–Dec 2014; 100%…
- Day and Night Stock Returns Worldwide Day returns outperformed night returns globally (10.5% vs 5.4% annualized; 1993-2011; 48,413 stocks across 35 countries), but the effect concentrated in 1993-1998 with night returns dominating 8 of 13 years…
- Overnight Momentum-informed Overnight Trading Overnight Bias Portfolio (stocks with significantly positive overnight momentum) outperformed market portfolio (25.9% vs 10.0% annualized; 1995-2014; monthly OBP sorts, value-weighted; ~20% of reasonably liquid U.S. stocks).
- Momentum Happens at Night? Intermediate-term momentum returns occur overnight (0.89% vs -0.18% monthly), while value and size effects occur intraday (1993-2013; cap-weighted decile strategies; broad U.S. stocks excluding smallest quintile).
- Daily, Overnight and Intraday VIX Tendencies VIX exhibits predictable patterns with Monday levels averaging 0.40-0.72 points higher and weekend overnight changes five times larger than weeknights (0.68 vs 0.12; Jan 2005–Jun 2010; minute-level data).
- Trade Against Overnight Moves? Overnight stock returns exhibit statistically significant negative correlation with next-day returns (-0.22; 1994-2005; NYSE/AMEX/NASDAQ), strongest for small-cap stocks, but trading costs likely prevent exploitation by non-specialists.
Day trading strategies
25 articlesOpening range breakouts, intraday momentum and other same-day trades.
- Buy Intraday Loser Stocks in the Last Half-hour? Intraday losers rebound in the last half-hour: a daily long-short quintile strategy (value-weighted, stocks over $5) earned 0.035% average gross daily return (8.8% annualized; 0.044% equal-weighted), before transaction costs (Jan…
- Success Factors for Day Traders? Despite access to elaborate trading platforms and real-time data, the large majority of speculative traders incur substantial losses (see, for example the chart below). In his August 2024 paper entitled…
- Complex Intraday Time Series Momentum Strategy Applied to SPY Volatility-targeted SPY intraday momentum (noise-boundary breakouts checked at HH:00/HH:30; VWAP-based trailing stops; flat at close) produced 19.6% net annualized return, 1.33 Sharpe, -25% max drawdown (May 2007–Apr 2024; assumed trading…
- Day Trading Stocks with ChatGPT ChatGPT 3.5-turbo news-tweet signals produced a gross long-short day-trading alpha of 3.7% monthly (NET_BUY 1.8% vs NET_SELL -1.7%; Dec 2022–Dec 2023; open-to-close, equal-weighted), concentrated in short-side and costly-to-trade stocks; returns…
- Intraday Stock Returns from Noise Reversals Buying (selling) S&P 500 stocks with negative (positive) 30-minute noise yielded 7.70% annualized gross long-short return per interval, versus 162.3% total across 13 daily intervals (Jul 1996–Dec 2022; value-weighted deciles);…
- Intraday Trading of Overactive Stocks via Opening Range Breakout A 5-minute Opening Range Breakout on high Relative Volume U.S. stocks (top 20 daily; stop-loss at 10% ATR; exit at close) outperformed the S&P 500 (41.6% vs ~15% annualized return;…
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- What Makes Day Traders Give Up? Brazilian day traders' decisions to quit are associated with whether the last day's gross return was positive or negative and with historical win rate, not loss magnitude or overall profitability…
- Robustness and Exploitability of Intraday Stock Return Prediction Machine learning models predicted intraday returns of SPY, sector ETFs and S&P 500 stocks, with net Sharpe ratios up to 2.21 for ETFs and 3.79 for long-short stock portfolios at…
- Day Trading with an Opening Range Breakout Strategy A 5-minute opening range breakout day-trading strategy on QQQ (long/short after first 5 minutes; 1% risk per trade; daily exit) outperformed buy-and-hold QQQ (33.2% vs 14.9% CAGR; Jan 2016–Feb 2023;…
- Use First Hour High/Low to Guide SPY Rest-of-day Trading? A subscriber asked about practical exploitation of the hypothesis that the high and low of an exchange-traded fund (ETF) during 9:30AM-10:30AM are informative about its high and low during 10:31AM-4PM.…
- Day Trading a Bust? Of 19,646 Brazilian retail traders beginning index futures day trading 2013-2015, only 3.0% achieved positive net daily returns and just 0.5% exceeded bank teller wages (300+ sessions; 2012-2017; gross/net performance…
- When to Look for Momentum and Reversal Intraday First 2-hour momentum outperformed conventional momentum (0.82% vs 0.36% gross monthly 4-factor alpha; 1993-2014; long-short decile portfolios, 6-month ranking, 1-month skip, 1-month hold; broad U.S. stocks).
- Intraday Stock Price Momentum and Reversal Trading Intraday cross-sectional strategies show profitable patterns, with extreme morning winners and losers both earning positive afternoon returns (19.4% vs 15.6% annualized during 15:30-16:00; Jan 1993–May 2010; U.S. stocks excluding microcaps).
- Intraday and Intraweek VIX Behaviors VIX drifts down -0.80% intraday and -3% weekly, declining most on Monday-Tuesday with weekend surges (Sep 2003–Dec 2013; one-minute data; descriptive patterns, not trading test).
- Recent Intraday U.S. Stock Market Behavior S&P 500 intraday patterns show no stable return patterns across recent months, though volatility remains elevated at market open/close as in 2007-2008 (Aug 2012–Sep 2014; 5-minute intervals; descriptive analysis).
- First and Last Half Hours of Trading Linked? SPY first half-hour returns predict last half-hour returns with R-squared 0.018 out-of-sample, generating 6.3% vs -0.5% gross annual return (Jan 1999–Dec 2012; hold SPY when first half-hour positive, cash when…
- Testing Japanese Candlesticks Intraday on Liquid Stocks Japanese candlestick patterns show limited intraday profitability after data snooping corrections, with only 5 of 83 patterns significantly profitable net of 0.05% trading costs (DJIA stocks; Apr 2010–Apr 2011; 5-minute…
- Performance of Futures Day Traders Less than 20% of individual futures day traders achieve positive net profit, with mean net profit per trader of -61,500 TWD (-$1,900) (Taiwan Futures Exchange; Oct 2007–Sep 2008; 3,470 traders).
- First and Last Hours of Trading Last-hour SPY returns modestly negatively correlate with next-day returns (-0.12 to -0.19; 2007-2008; ~500 observations), driven by distribution tail effects with high standard deviations inhibiting exploitability.
- Intraday U.S. Stock Market Behavior SPY exhibits weak mid-afternoon decline patterns and higher volatility near open/close versus midday (2007-2008; one-minute prices; average returns too small to exploit as standalone strategy).
- A Few Notes on Day Trading Options Augen argues options day trading can exploit intraday-overnight volatility distortions, noting intraday options are systematically underpriced while overnight options are overpriced (theoretical; no portfolio-level return statistics provided).
- Intraday/Daily Stock Return Patterns Intraday returns of NYSE stocks show a recurring 13-hour (one trading day) cycle, with reversals at other intervals (2001–2005; 13 half-hour intervals; cross-sectional); hedge strategies exploiting it lose money after…
- Reliable Intraday Trades on Federal Funds Rate Decisions? S&P 100 stocks drop 113 basis points within five minutes of unexpected 25bp FFR increases, with surprises explaining 27% of short-term price variation (May 1997–Nov 2006; 77 scheduled announcements; intraday…
- The Animal Spirits of Day Trading ...given that trading involves logical reasoning, numerical computation and long-term planning, one component of successful trading may be a reduced level of emotional reactivity.
- Do Day Traders Make Money? Could we make a bundle day trading? In their May 2004 paper entitled "Do Individual Day Traders Make Money? Evidence from Taiwan", Brad Barber, Yi-Tsung Lee, Yu-Jane Liu and Terrance…