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

Informacje o Wersji

Added average returns and percent positive

Skrypt open-source

W duchu TradingView twórca tego skryptu udostępnił go jako open-source, aby traderzy mogli analizować i weryfikować jego funkcjonalność. Brawo dla autora! Możesz korzystać z niego za darmo, ale pamiętaj, że ponowna publikacja kodu podlega naszym Zasadom Społeczności.

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Skrypt open-source

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