Most gains for $SPY happen overnight: a quantitative study

There is an article back from 2018 that says that most gains for $SPY happen overnight stating that you could have done overnight hold since 1993 and be more profitable than running the same by marker hours.

I thought why not to review this thesis in a bit more detailed way. I set a simple backtest that is not going back to 1993 but rather just to Jan 1, 2010, holds overnight and sells in the morning.

The Setup
  • $10,000 to trade daily (nightly actually)
  • Trading only $SPY
  • Buy at 3:59 using a market order
  • Sell at 9:30, 9:31, 9:32, 9:33, 9:34, 9:35 (let's see which one does better) using a market order
  • Do not trade on early close days

Strategy setup​
The Results

Cumulative gain since Jan 1, 2010​

Gain by year​
Disclaimer: This post is for fun and educational purposes only with no attempt to beat buy and hold. Do not use this is trading/investment advice.