[jswanson]

When do you think the most points are accumulated in the S&P E-mini market? During the day session or during the overnight session? To answer this question I developed two simple strategies. Both strategies only go long. They both use a daily chart and a 200-period simple moving average (SMA) as a market environment filter so trades are only taken when price closes above the SMA. Both systems were executed from 1997 to September 2011 with no slippage or commission cost deducted.

The Day's Session

The first strategy simply buys at the day's open and closes the position at the end of the day. Thus we are capturing the points gained or lost during the day session. The equity curve is a sum of the points gained or lost during the day session since 1997. Below is the equity curve of this trading system.



The Night Session

The night session strategy is just as simple but it opens a new position at the close of the daily bar. It then closes that position at the open of the next bar. Thus we are capturing the points gained or lost during the night session. The equity curve is a sum of the points gained or lost during the night session since 1997. Below is the equity curve of this trading system.



As you can see there is a clear difference between the night session and the day session. What does this mean to you? There does seem to be an edge in exploiting long positions by riding the overnight session. My hypothesis is because so many active traders do not trade the overnight session, the market will often move in such a way as to lock them out from gains. Most people are familiar with the market shakeouts that rattle the faith of bullish participants, thus forcing them to lose their position. You've seen it where the market moves down to takeout your stop only to reverse in your favor. A painful experience. However, the market does have another subtle trick that messes with your psychology. That trick is making you miss the bull move all together. Yes, the markets are good at trapping you out of a move too!

Anyway, keep this night vs. day session study in mind and perhaps you can use it to help gain an edge with your trading.

[cjforex]

I explored something similar when I was trading futures. My conclusion at the time was that start of standard day session excluded most major news announcements which contained significant volatility and movement which was mostly absorbed before standard open times.

When I shifted to currencies I saw a similar phenomenon when a major event happened in London market, there was little volatility left for New York session. As if the ripples of the big splash had settled down by then.

CJForex

[Brookwood]

For a while now the Europe open to NY open has had nice smooth tradeable swings, while the NY session is a train wreck. I've been getting up as early as possible

[zdo]

yep, long ago I moved back to the east coast so I wouldn't have to get up so early... but getting up at 4:30 AM almost every day for going on three months now ... may have to move across the pond or develop some new polyspastic sleep cycle... : )

[npc008]

I got a idiot question here. Why the price moves during night? I thought the open price will be the closing price from the day before. Are we talking about stocks trade on different exchange here?

[jswanson]

Originally Posted by npc008 »

I got a idiot question here. Why the price moves during night? I thought the open price will be the closing price from the day before. Are we talking about stocks trade on different exchange here?

This study was done the S&P E-mini futures contract which trades in the over night session.

[jackb]

Originally Posted by jswanson »

When do you think the most points are accumulated in the S&P E-mini market? During the day session or during the overnight session? To answer this question I developed two simple strategies. Both strategies only go long. They both use a daily chart and a 200-period simple moving average (SMA) as a market environment filter so trades are only taken when price closes above the SMA. Both systems were executed from 1997 to September 2011 with no slippage or commission cost deducted.


The night session strategy is just as simple but it opens a new position at the close of the daily bar. It then closes that position at the open of the next bar. Thus we are capturing the points gained or lost during the night session. The equity curve is a sum of the points gained or lost during the night session since 1997. Below is the equity curve of this trading system.

As you can see there is a clear difference between the night session and the day session. What does this mean to you? There does seem to be an edge in exploiting long positions by riding the overnight session. My hypothesis is because so many active traders do not trade the overnight session, the market will often move in such a way as to lock them out from gains. Most people are familiar with the market shakeouts that rattle the faith of bullish participants, thus forcing them to lose their position. You've seen it where the market moves down to takeout your stop only to reverse in your favor. A painful experience. However, the market does have another subtle trick that messes with your psychology. That trick is making you miss the bull move all together. Yes, the markets are good at trapping you out of a move too!

Anyway, keep this night vs. day session study in mind and perhaps you can use it to help gain an edge with your trading.

I suspect that you probably are completely unaware of the built-in bias embedded in your comments and that you didn't deliberately mean any offense, but you should know that night/day sessions are the equivalent of day/night sessions for non-US based traders. There are people on this board from all over the world and we now live in a global community. A US-centric mindset is so 1970s. And while this may sound harsh, a more expansive mindset might help you make more sense of the markets overall.

Begin by trying your own comments on for size. Recount your observations but shift the time frame to treat the European or Asian session as the Day session and then relegate the US overnight session to a place and time where apparently "subtle tricks" are played out. Does that paint a clear enough picture? The European markets are as substantial as the US and it won't be long before the Asian markets out pace both. Then the shoe will be unequivocally on the other foot.

[cjforex]

But emini is traded new York day as standard session, and I always remember it referred to as night session.

-cjforex-