Night Drift

Captures the "night effect" in equity markets. Enters positions near the close and exits at the next open, exploiting the structural tendency for markets to drift higher overnight while avoiding intraday noise.

Performance Highlights

CAGR
17.2%
Total Return
456.3%
Max Drawdown
-14.3%
Sharpe Ratio
1.52

Equity Curve

Live Trading + Backtest
$72k$208k$344k$480k$616k20152016201720182019202020212022202320242025
Night Drift
Initial: $100kAnnual: 17.2%Total: 456.3%Max Drawdown: -14.3%

Why Trade This?

The "overnight anomaly" is a well-documented phenomenon where a significant portion of equity market returns occur during the overnight session (close-to-open), while the intraday session (open-to-close) often sees flat or negative returns.

This strategy systematically exploits this edge by buying liquid ETFs (QQQ, URA, XBI) just before the market closes and selling them at the next market open. This approach avoids intraday volatility and news noise, focusing purely on the structural drift.

Key Advantages

  • Structural Edge: Based on decades of market data showing persistent overnight drift.
  • Low Correlation: Often performs well when intraday trend strategies struggle.
  • Capital Efficiency: Cash is available during the day for other strategies.

Market Conditions

✓ Works Best In
  • Bull markets with strong momentum
  • Low volatility environments (steady drift)
  • Earnings seasons (positive drift bias)
✕ Struggles In
  • Bear markets or prolonged downtrends
  • High volatility with large overnight gaps
  • Major geopolitical news events overnight

Strategy Specs

Asset Class
US Equities / ETFs
Frequency
Daily / Intraday
Initial Capital
$100,000
Status
Active