Example Of An Overnight Strategy (Amibroker And Tradestation Code)

This article was published behind a paywall on Substack.

The code in plain English:

1. Calculate the absolute value of the % change from today’s close from yesterday’s close (c2c).
2. Calculate a 25 day average of number 1.
3. When SPY falls more than two times the number in number 2 from Close to Close (c2c), then go long at the close.
4. Exit on next day close.

Amibroker code:

c2c = abs((C-Ref(C,-1)) / Ref(C,-1)) ;
avgc2c=MA(c2c,25) ;

Buy= ( Ref(C,-1) -C ) > (2*averagec2c) ;
buyPrice=Close;
Sell= C>0;
sellPrice=Close ;

Tradestation code:

If (c[1]-c)>2*average(AbsValue(C-C[1]),25)

Then buy this bar at close;

If c>o then sell this bar at close;