Overnight vs Intra-day Performance

█ 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

Release Notes

Added average returns and percent positive

Open-source script

In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.

Botnet101

Disclaimer

The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.

Open-source script

Botnet101