Recruitment of participants Futures Trading Strategy F104: Overnight Strategy, @ES,D

Futures Trading Strategy F104: Overnight Strategy, @ES,D

The strategy works best for @ES.D and is a mean reversion strategy.

The backtest uses Tradestation data from CME on continuous and back-adjusted data and local exchange hours (0930-1600 NYT). The strategy buys the close and sells at the close the next day (24 hours later).

The equity curve (@ES.D):


Performance metrics (@ES.D):

 

I don't know