Backtest which overnight session produces the best returns.
Buy at the selected day's close and sell at the next trading day's open.
Friday captures the weekend hold into Monday's open.
Pick the entry weekday. Buys at that day's close and sells at the next trading day's open.
Fri captures the weekend hold into Monday's open.
Narrows trades to days where VIX was in the chosen regime.
< 20: calm regime — low implied volatility, smooth trends.
20-30: elevated regime — choppier tape, regime transitions.
> 30: crisis regime — sharpest moves, highest uncertainty.
Filters trades by the close's position relative to the 5-day MA.
< 5D trades only when the close is below the 5-day MA. > 5D only when above.
Scans Mon–Fri overnight trades (buy close → sell next open) to find the weekday with the highest average return per trade.
Uses the selected VIX Regime and Moving Average filters. Requires at least 5 trades per candidate.