English
Apuntarme a la lista de espera
Los libros... aunque no gratis
10 Strategier Som Slår BörsenSvenska10 Strategier Som Slår Börsen10 Strategies That Beat the MarketEnglish10 Strategies That Beat the MarketProRealTime Coding Made SimpleEnglishProRealTime Coding Made Simple
600+EstadísticasEstadísticas de mercado y ventajas1,327EstrategiasBiblioteca de estrategias probadas18Papers de investigaciónEl estudio detrás de los algos301DocumentaciónReferencia de ProBuilder27Programa de desarrollo de algosCursos y lecciones24Todo esto alimenta los 24 algosVer los algos

Estadísticas › Intraday y microestructura de mercado › Overnight drift

The S&P 500's overnight edge paid 3.7% a year, then stopped in 2021

09:00 to 10:00 ET: -1.20-1.2009:00 to 10:00ET00:00 to 01:00 ET: 0.46+0.4600:00 to 01:00ET01:00 to 02:00 ET: 0.43+0.4301:00 to 02:00ET02:00 to 03:00 ET: 1.50+1.5002:00 a 03:00ET

Average return in basis points per day, S&P 500 E-mini futures, 1998 to 2020. These are the four hours the paper states numerically; the other twenty are not quoted here because the paper does not list them individually.

One hour of the overnight session carried the S&P 500 E-mini's entire excess drift for twenty-three years, worth 3.7% a year. Two ETFs launched to harvest it in 2022. Both closed within fifteen months, and the effect has been flat since 2021.

1.5 bpAverage return in the 02:00 to 03:00 ET hour, 1998 to 2020
t = 7.1The only hour of twenty-four significant at 1% after multiple-testing correction
-0.5Sharpe ratio after costs, against 1.1 before, 2004 to 2020
CeroApproximate average since January 2021, over 1,245 trading days

Solo para miembros

El resto de esta página es para miembros

Below this point there are 7 sections, 1 chart and 2 named sources, roughly 600 words of it. Every figure carries the source it came from and the date the data is from.

Puedes seguir consultando todas las estadísticas de la biblioteca gratis. La introducción y el resumen están siempre abiertos.