AuthorJing Wu2018-07-17

Introduction

Instead of collecting profit from intraday trading, this algorithm tries to capture the overnight returns of the index.

Method

The strategy buys the SPY ETF at its closing price and sells it at the opening each day. The strategy makes a lot of trades, therefore, the whole strategy is very sensitive to slippage costs and fees. Those returns are canceled out once transaction costs are taken into account. With the InteractiveBrokersFeeModel, fees for 20 years backtest is almost 25% of the initial cash.

Algorithm




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