@quantpad: When to buy after a stock market crash: every S&P 500 futures day since 2011 that fell 3% or more, and what the next session did On 41 days since 2011, E-mini S&P futures fell 3% or more close to close (Aug 2011, Aug 2015, Feb 2018, March 2020, 2022, April 2025). I tested what happened next on one-minute bars, one contract, $16.50 a round turn, on S&P and Nasdaq futures. Buying the crash at the close and selling the next open lost $15,722 on the S&P over 40 crashes. Buying at 10:30 the next morning and selling the close made $16,190, up on 24 of 40 mornings. On the Nasdaq (73 crashes) the overnight hold made $2,196 and the 10:30 entry made $42,206. The next-day session was profitable at every crash cutoff from 2% to 4%, entering at 9:30 or 10:30, on both markets. Waiting until 10:30 cut the worst single loss by about 40% on both. At $33 a trade the S&P 10:30 entry still made $15,530. What this does not show: it is only 40 S&P events, and two nights in April 2025 made $15,571 of the $15,722 overnight loss. It is not significant at 5% (t = 0.95 on the S&P). Walked forward (expanding yearly from 2014, best of 40 rules re-picked each year from past data only), the S&P made just $2,472 out of sample and the Nasdaq $43,377. The day after a crash also swings about 3.5 times a normal day. The takeaway: don't buy the crash at the close. Wait for the morning, and trade it smaller. I built this in QuantPad. It has every trade on the CME since 2010. Link in bio. #QuantPad #backtesting #futurestrading #marketdata #tradingstrategy

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Saturday 31 October 2026 17:07:10 GMT