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Wild and Wide Range Overnight Trading

March 6, 2020

45 ROLLING

Coronavirus is driving the stock markets down and down, crashing all the algos.

When the overnight range gets to very extreme levels there aren’t any stats working as usual.

The most dangerous factor is huge volatility that triggers stop loss orders much more frequently. As my primary goal is to keep my stop loss triggers frequency at minimum level, I have many filters that keep me out of the market, though there are many patterns triggering night after night.

When the stock market is in a wild regime traders must be extremely selective and trade only the trades showing the highest odds. That’s what I do at Nightly Patterns.

One of the indicators that help me staying out at the window in the corner is the rolling sum of the last 45 days SPY overnight returns. Normal levels for this indicator are +5% / -5%.

Now we are below -9%. I recorded the minimum level at -15,91% the 21st of September 2001 in the middle of the Dot Com Crash.

Looking at the chart above, we can easily show other 6 times (big spiking valleys) with lower values than today’s one.

There’s a lot of room for other big bearish overnight sessions yet.

Marco Simioni

Nightly Patterns

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