Overnight vs Intra-day Performance

30 janv.

█ STRATEGY OVERVIEW
The "Overnight vs Intra-day Performance" indicator quantifies price behaviour differences between trading hours and overnight periods. It calculates cumulative returns, compound growth rates, and visualizes performance components across user-defined time windows. Designed for analytical use, it helps identify whether returns are primarily generated during market hours or overnight sessions.

█ USAGE
Use this indicator on Stocks and ETFs to visualise and compare intra-day vs overnight performance

█ KEY FEATURES

• Return Segmentation: Separates total returns into overnight (close-to-open) and intraday (open-to-close) components
  Growth Tracking: Shows simple cumulative returns and compound annual growth rates (CAGR)
  

█ VISUALIZATION SYSTEM
1. Time-Series

• Overnight Returns (Red)
  
• Intraday Returns (Blue)
  
• Total Returns (White)
  

2. Summary Table

• Displays CAGR
  

3. Price Chart Labels

• Floating annotations showing absolute returns and CAGR
  
• Color-coded to match plot series
  

█ PURPOSE

• Quantify market behaviour disparities between active trading sessions and overnight positioning
  
• Provide institutional-grade attribution analysis for returns generation
  
• Enable tactical adjustment of trading schedules based on historical performance patterns
  
• Serve as foundational research for session-specific trading strategies
  

█ IDEAL USERS
1. Portfolio Managers

• Analyse overnight risk exposure across holdings
  
• Optimize execution timing based on return distributions
  

2. Quantitative Researchers

• Study market microstructure through time-segmented returns
  
• Develop alpha models leveraging session-specific anomalies
  

3. Market Microstructure Analysts

• Identify liquidity patterns in overnight vs daytime sessions
  
• Research ETF premium/discount mechanics
  

4. Day Traders

• Align trading hours with highest probability return windows
  
• Avoid overnight gaps through informed position sizing
  

19 févr.

Notes de version

Added average returns and percent positive