According to the New York Times: most gains for $SPY happen overnight. “If you had bought the SPY at close on each business day since 1993 and sold at the open the next day — capturing all of the net after-hour gains — your cumulative 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, 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

PS: 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.