Strategies · Core
Market Sentiment and the Overnight Anomaly
Harvest the close-to-open (overnight) equity premium, optionally gated by a sentiment filter — a timing of when the overnight edge is on.
Definition
Many equity indexes earn a surprising share of return overnight and give some back in the day session. The strategy is long the overnight and flat (or short) the cash session, with a sentiment or trend gate so you are not always in.
Why it matters
It is a well-known microstructure/clientele split. Capacity, futures rolls, and a regime where Asia risk reprices the open can kill it.
Case
A US book that is long overnight through an Asia crash. The ‘open’ is a gap against you. The gate is the strategy.
How to read it
Futures vs cash, costs of daily round-trips, and a crisis overlay. Average overnight ≠ every overnight.
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