Yo Rickshaw, Overnight, Relentless, et al. - SPY all time versus over night

[Laissez Faire]

Moral of the story: but 10 seconds before close each day, sell 2 seconds after open each day, profit like a smooth m'fukn criminal....

You should compare this with actual buy and hold.

 

[murray t turtle]

So, as promised, I did my testing. I figured out the cleanest way to test holding SPY 100% of the time, come thick or thin, or holding a portion (or all) overnight only, buying at each close and selling at each open, was just to have an allocation of starting percentage of your portfolio to each one.

So, a 100% to SPY all time would mean you start with 100% of your portfolio and let it ride all day and night every day and night.

100% overnight SPY would be investing none of your portfolio in SPY, other than you'd buy 100% of your account value in SPY at each day's close and then sell 100% at each mornings open, rinse and repeat.

a 50/50 allocation would mean you put half in SPY and left it there to let it right and half you would buy each day at close and sell each morning at open.

I ran the numbers back from SPY inception, starting 1/29/1993.

You know what I found?

If you had put $100 in SPY and just let it run, a starting $100 account would have grown to $1630.80, a 10.32% IRR. Max drawdown was 55.19%.

If you had done 50/50, a starting $100 account would have grown to $1670.81, a 10.42% IRR. Max drawdown was 35.14%.

And if you had used 100% of your account to buy SPY at each close, and sell at each open, your $100 account would have grown to $1699.61, a 10.51% IRR. Max drawdown was only 32.79%. That's right - this is not even holding the SPY at ALL during any day sessions, only buying at the very end and selling at the very beginning. And you indeed come out ahead this way - both more earnings, but, more importantly, a good bit less drawdown.

So, Overnight, Relentless, you guys don't have to listen to me. But when a dark, shadowy figure, hidden in the shadows of a ricksaw, whispers out to you on some cold, rainy day, "So easy once again making free overnight money. Don't waste your time trying to scratch out meager gains during the U.S. session. Just buy the cash close get some sleep and wake up to profits. The range will continue to dry up during the U.S. day session.".... you should motherfukin' LISTEN...

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Good points/good profits;
unless one like dividends+less slippage.......... SPY range may get smaller in summer; but SPY is NOT a creek that dries up in summer ,?LOL
Me i like letting profits ride more than split seconds @ open / but takes all kinds to make a market.
Strangely, spy =>> than qqq so far 2021

 

[atxnfo]

LOL tiddlywinks, sometimes Overnight has bad days when he is not firing on all cylinders lol.

atxnfo, agreed, I like that idea and will model it eventually. All ears for stuff to try to get us even more alpha.

Hey- did you get a chance to add some qualifiers to this?
Would also love to see TQQQ - I like to scalp that during the day and it seems to have a lot of gaps

 

[d08]

Your first part regarding commissions is true, but with commissions being almost nothing, or actually nothing, these days not sure how much that would matter.

Free commission brokers usually don't offer auction orders, so you'd be paying the spread.

 

[murray t turtle]

You should compare this with actual buy and hold.

%%
That;
but real early + real late as his time was noted, may get worst fills of the day.
And let's assume a storm....... never blips the power/ which may be or may not be a correct assumption.............................................................................................