Most gains for $SPY happen overnight: a quantitative study

BE Trader

Junior member
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


Screen Shot 2022-02-08 at 6.30.52 AM.png

Setup of the Strategy in BreakingEquity


The Results
The study is as close as it can be to how one would be able to trade manually, accounting for volume, market orders, early close days and alike.
Screen Shot 2022-02-08 at 6.13.21 AM.png

Cumulative gain since Jan 1, 2010

Screen Shot 2022-02-08 at 6.19.56 AM.png

Gain by year

All calculations have been made using BreakingEquity backtesting app.
 
 
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