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Holding SPY overnight = most returns with half the drawdown

I was playing with some goofy ideas from the net and I ran across this little anomaly:

Buying SPY 5 minutes before close and selling it 5 minutes after open every day yields almost all the returns, but avoids half the drawdown during major crashes. In other words: For the period tested (2006 - 11/2015) most of SPY's gains are at night, and most of it's major crashes happen during market hours.

Strangely, the same doesn't hold true for DIA or QQQ.

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3 responses

A use case for Robinhood-Quantopian, since there are no commissions? I guess the problem would be the T+3 settlement?

T+3 settlement issue can be solved with robinhood instant but can this trigger patter day trading (PDT)? PDT can be an issue if robinhood account value is less than 25K.

if i'm not mistaken, day trader is only triggered if you buy and sell the same security on the same day. this system is actually conveniently excepted from the rule--maybe. =)