Most gains for $SPY happen overnight: a quantitative study

According to the New York Times 2018: most gains for $SPY happen overnight. "If you had bought the SPY at the last second of trading on each business day since 1993 and sold at the market open the next day — capturing all of the net after-hour gains — your cumulative price gain would be 571 percent."

We thought why not to review this thesis in a bit more detailed way. We set a simple backtest that is not going back to 1993 but to Jan 1, 2010: hold overnight and sell 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
  

Algo Parameters

Enter Criteria:
1.#No condition - just enter a position
2.True

Exit Criteria:
1.#Exit next day, when there is a position
2.$Position.size>0

The Results

Strategy: Hold overnight, exit 9:30
Total wins: 1651
Total loses: 1359
Total gain: 79.54%
Total gain 2022: -2.59%

Strategy: Hold overnight, exit 9:31
Total wins: 1629
Total loses: 1341
Total gain: 80.04%
Total gain 2022: -2.88%

Strategy: Hold overnight, exit 9:32
Total wins: 1628
Total loses: 1342
Total gain: 88.80%
Total gain 2022: -3.31%

Strategy: Hold overnight, exit 9:33
Total wins: 1618
Total loses: 1352
Total gain: 94.28%
Total gain 2022: -3.96%

Strategy: Hold overnight, exit 9:34
Total wins: 1617
Total loses: 1353
Total gain: 94.11%
Total gain 2022: -3.63%

Strategy: Hold overnight, exit 9:35
Total wins: 1633
Total loses: 1337
Total gain: 90.48%
Total gain 2022: -4.36%

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