@dr.amjed1: عيش حياتك بكل حريه وامان بوجود الصمام الاصطناعي

Dr. Amjed
Dr. Amjed
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Wednesday 19 August 2026 14:32:55 GMT
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al_hrbi2020
M💞🇸🇦 :
ربي يسعدك
2026-09-26 04:46:03
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سامي عبد :
دكتور أمجد من أحسن إلى أحسن تحيات أبو وسام
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الله يوفقك دكتور
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اشرف جبار؟ الله ثقتي ورجائي :
شعجب لكو حل الصمام ابقلب صتناعي ومالكو كلي صتناعيه
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Overnight drift backtest: which hour of the night moves S&P 500 and Nasdaq futures, tested on every night from 2011 to 2026. A New York Fed staff report,
Overnight drift backtest: which hour of the night moves S&P 500 and Nasdaq futures, tested on every night from 2011 to 2026. A New York Fed staff report, "The Overnight Drift" (Boyarchenko, Larsen and Whelan, 2020), found US stock returns are large and positive during the opening hours of European markets. We cut every E-mini S&P (ES) and Nasdaq (NQ) night from the 15:59 close to the 09:30 open into 17 fixed windows, using one-minute bars: 3,843 ES nights and 3,835 NQ nights. The paper holds up. 2:00 to 3:00 a.m. New York time was the biggest window on both markets: 746 of the S&P night's 4,315 points (17%) in one hour of seventeen and a half, and 17% of the Nasdaq's. But you cannot trade it on its own. The hour averages 0.19 points on ES and a $16.50 round turn costs 0.33. One contract bought at 2:00 and sold at 3:00 every night made $37,300 before costs and lost $26,110 after them, losing in 11 of 16 years. Walked forward (expanding, each year picking the best of the 17 windows from prior years only, 2014 to 2026), it lost $26,743. The edge was also stronger before the paper came out (t-stat 3.93 in 2011-2019, 0.97 since 2020). What does work in this data is holding the whole night: one ES contract from the 15:59 close to the 09:30 open, every night, made $152,341 after costs, with one round trip instead of chasing one hour. The paper's second claim, that sell-offs are followed by bigger overnight gains: after a 1% down day the European hour averaged 0.55 points (305 nights), but after a 1% up day it was 0.47, so we did not see the asymmetry on futures. Not modelled: overnight margin and gap risk. Takeaway: don't trade the hour. Hold the night, and pay your costs once. QuantPad has every CME futures trade since 2010 built in. I built this in QuantPad. Link in bio. #QuantPad #backtesting #futurestrading #quantfinance #algotrading

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