Overnight Bias: Emini Night Owl Short Play

Emini Night Owl Short Play trading system is designed to take advantage of the overnight range expansion behaviour mentioned in the Emini S&P Afterhours Behaviour series. This model has strict control on risk and performed very well over the past 10 years just like its counter-part Emini Night Owl Long Play. It is one of those hidden gems one has to really understand the overnight price behaviour to discover them.

Content

• Overall Performance
• Basic Setup
• Variations
• System Logic
• Summary

Overall Performance

Following is a Emini S&P 15-minute 24 hours chart with the net gain amount plotted below. The system trades a single lot with $2.50 commission per trade ($5 round turn) and 1-tick slippage on stop loss and market entry orders.

Although not as stable as its long side counter-part, Night Owl Short Play is still a pretty good performer all these years.

Winning rate stands at 62% with about 9 trades a year.

Stop loss can be fixed at 6 points with flexible parameter range for other conditions.

Just like its counter-part, entry happens in the early morning hours (Eastern Time) well before the regular trading hours starting at 9:30 am.

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