On Sunday Feb 4th the New York Times discussed a report that found : "Buying SPY at Close and Selling at Open" returned 571% versus a daytime return of -5%:
(Many stories focus on SPY since it's the world's most traded instrument.) This daily trading of SPY paralleled my system but at oppose times - I propose "Buying SPY at Noon and Selling at Close." They reported on losses in SPY during the day forcing the question: If SPY was dropping during the day, how, how could I select afternoons when it rose?.
The study used 25 years of SPY data But since GDP-based ETFs have only been liquid for 8 years I examined daytime vs overnight profit for 8 and 10 year sub periods.
To stay consistent with the NY Times article In the table below I use compound rather than additive returns used in past posts. Recall the grammar school problem of a $100 item whose price is $121 after a two 10% price increases so compound returns are higher than my previous additive returns.
Note that results in the last ten years (row 3) differ with the prior fifteen (row 2); Daytime returns dramatically shift from negative 39% to positive 53%.row 3. This solved my question. SPY has not been dropping during afternoons for more than 8 years. (Although the quoted study is correct I've notified the NY Times about this sub period difference.)
Comparing afternoons in the last 2 rows shows SPY_PM model's impressive performance. In the last 1765 afternoons SPY retuned 23% or .01%/day. On model afternoons (329 days) it returned 57% or .17/day. In 10 million random selections of 329 days not one selection had a better return. Strong significance is when the system is better than 1 in 100 random trials. These results are better than 1 in 10,000,000