Distance from the signal close to the next session's open, 2024
Answered against 22 years of US equities and 12 years of US options data and published with the query that produced it. This result is stored as of 2026-10-04, from Event-Driven vs Vectorized Backtesting.
| ticker | median_overnight_move_pct | p90_overnight_move_pct |
|---|---|---|
| NVDA | 1.084 | 2.664 |
| AAPL | 0.371 | 1.234 |
| MSFT | 0.337 | 1.079 |
| SPY | 0.27 | 0.767 |
| KO | 0.205 | 0.629 |
- Rows × columns
- 5 × 3
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
ticker |
text | 5 distinct values (AAPL, KO, MSFT…) | |
median_overnight_move_pct |
number | 0.205 to 1.084 | percent |
p90_overnight_move_pct |
number | 0.629 to 2.664 | percent |
Computed from Strasmore's warehouse of US exchange, SIP and OPRA market data. Equity prices are delayed; options greeks and implied volatility are end-of-day. This result is stored, not recomputed on load — it is exactly the numbers that were returned on , and the query below is what returned them.
Run it yourself
This is the exact query behind the result above. Change a ticker, a date or a column and run it against the warehouse — no account, no key. The no-signup tier is smaller than the one this page was computed on; a query that reaches past it comes back saying which plan runs it.
WITH px AS
(
SELECT
ticker,
date,
toFloat64(any(close)) AS close,
toFloat64(any(open)) AS open
FROM global_markets.stocks_daily_aggs
WHERE ticker IN ('SPY', 'AAPL', 'MSFT', 'NVDA', 'KO')
AND date >= '2024-01-01'
AND date < '2025-01-10'
GROUP BY ticker, date
),
seq AS
(
SELECT
ticker,
date,
close,
leadInFrame(open, 1) OVER (PARTITION BY ticker ORDER BY date ASC ROWS BETWEEN CURRENT ROW AND 1 FOLLOWING) AS next_open
FROM px
)
SELECT
ticker,
round(quantileDeterministic(0.5)(abs(next_open / close - 1) * 100, toUInt32(toRelativeDayNum(date))), 3) AS median_overnight_move_pct,
round(quantileDeterministic(0.9)(abs(next_open / close - 1) * 100, toUInt32(toRelativeDayNum(date))), 3) AS p90_overnight_move_pct
FROM seq
WHERE next_open > 0
AND date < '2025-01-01'
GROUP BY ticker
ORDER BY median_overnight_move_pct DESC
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