Overnight Close-to-Open Trading with a 200-Day Moving Average Filter

Summary

This strategy holds a position from the close of one session to the next session’s open, using the 200-day simple moving average to choose direction. It enters long when the daily close is above the average and short when it is below, then closes the position at the following open. The rationale offered is that closing prices reflect value while buying pressure from intraday traders may lift opening prices.

The document identifies risks such as opening reversals, manipulated closes, suspensions, transaction costs, and parameter sensitivity, and suggests liquidity screening and stop-losses. It supplies a short historical backtest configuration for BTC-USDT futures, but no results are reported. The instrument and timing descriptions focus on stocks and regular equity-market hours, while the published test uses crypto futures and hourly bars; this makes the intended market mechanics and implementation uncertain. The claimed opening effect is not supported with statistics, and realistic costs, session definitions, and execution assumptions would need evaluation before drawing conclusions.

Key ideas

• The strategy enters at the session close and exits at the next session open.
• A 200-day simple moving average determines whether the close-time position is long or short.
• The proposed edge relies on a tendency for prices to rise at the open, but the document gives no statistical evidence for it.
• Opening reversals, illiquidity, suspensions, transaction costs, and unreliable closing prices are identified as risks.
• The stated equity-session logic does not clearly match the published BTC-USDT futures backtest configuration.

Tags

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