Overnight Sentiment Anomaly Strategy

This strategy trades an equity ETF only overnight when an external sentiment indicator signals extreme optimism. At the close the ETF is bought if the indicator exceeds a threshold and is sold the next morning, targeting the overnight drift associated with positive sentiment.

Intraday data is not used; the algorithm reacts to end-of-day sentiment values and places market orders at the close and next day's open.

Details

• Instrument: equity ETF and sentiment data series.
• Signal: sentiment value above configurable Threshold.
• Holding period: market close to next day open.
• Positioning: long when sentiment high, otherwise flat.
• Risk control: order skipped when trade value below MinTradeUsd.