FTSE MIB Overnight Long Strategy with Price Filters

Summary

This ProRealTime strategy targets an overnight rise in the FTSE MIB by entering long at 5:30 p.m. and exiting at 9:30 a.m. It adds two entry conditions: the 9:30 a.m. open must be below the previous daily close, and the 5:30 p.m. price must be at or below the lower of the two prior daily lows. The example disables order accumulation and uses a fixed position size of five units per point. In practical terms, the filters restrict overnight exposure to sessions that meet both a gap-related condition and a recent-low condition.

The post says that results and code are attached, but the supplied text includes no performance figures, test period, benchmark, or transaction-cost assumptions. It describes the underlying overnight tendency as an idea attributed to publicly available material, rather than presenting supporting analysis. The strategy is therefore a rule specification, not evidence of a robust edge. Its use also depends on correct time-zone, session, daily-bar, and execution conventions, and the fixed position size is not accompanied by a risk-sizing method.

Key ideas

• The strategy enters the FTSE MIB long at 5:30 p.m. and exits at 9:30 a.m.
• Entry requires the morning open to be below the previous daily close.
• The evening price must be no higher than the lower of the two previous daily lows.
• The example uses a fixed position size and does not describe a risk-based sizing rule.
• The provided text does not report performance figures or testing assumptions.

Tags

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