Good luck replicating this in sample. Open and closing auctions are going to cru...

		anonu on Feb 7, 2023 \| parent \| context \| favorite \| on: They say that stocks go down during the day and up... Good luck replicating this in sample. Open and closing auctions are going to crush your strategy from a cost and slippage perspective. In addition you should be looking at risk adjusted return. The overnight volatility is way higher than the intraday. Are you being paid for each unit of risk you're taking?

Even accounting for such costs, it may still provide excess real returns.