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seasonality

Overnight and Intraday SPX returns

June 1, 2020May 5, 2020 by Robot James

One of the things I’ve noticed from staring at the screen all day for the last few months is that most of the large negative returns in US stock indexes have come overnight. What do you mean by “overnight”? The core stock trading session for US stocks is between 9:30 am and 4 pm Eastern …

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Categories R, Trading strategies Tags intraday, seasonality, SPY, tidyverse, trading strategies

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