EMA-Filtered Overnight Trading Around Global Market Sessions

Summary

The document describes a time-based overnight strategy that aims to enter near a market close and exit after the next opening, with selectable US, Asian, or European session hours. An optional EMA filter permits long entries when price is above the EMA. The parameters include entry and exit offsets, EMA length and timeframe, market selection, and exchange or bot settings. The prose describes a cross-market long-short approach and Friday risk protection.

The published test configuration uses BTC/USDT futures data at a daily period from December 2019 to November 2024, but supplies no performance statistics. There is also a material difference between the description and source: the code shown only enters long positions, and its exit signal is not used in the exit logic. Its position-closing code appears to close an open position repeatedly, while the Friday force-close condition lacks a Friday check. Therefore, the source does not substantiate the described overnight schedule or short trades. Overnight gaps, session-time assumptions, and EMA lag are cited risks; the implementation needs review before its behavior can be evaluated.

Key ideas

• The described approach times entries near session close and exits after the next open, with an optional EMA filter.
• Users can select US, Asian, or European market hours and adjust timing and EMA parameters.
• The prose describes long and short trades with Friday closing, but the supplied code only enters long.
• The shown exit signal is not used in the exit logic, so the code does not demonstrate the described schedule.
• The published backtest settings give no performance results, and overnight gaps remain a stated risk.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.