Buy at close/Sell at openlongBacktest Results @ SPY • 10 Minutes
This strategy exploits a well-known myth, saying that if you buy at stock market session close and then jsut sell the next day at open, then you'll be doing well. You can see youself that the results are … diverse, to say the least. Can buying at close and selling at open make you money? Is it sustainable? See that youself, in the backtest results below. Remember that maybe there are assets where that might make sense. We could not cover all the US stocks and ETFs, anyways
Equity Curve
Backtest covers 12.6 months of SPY • 10 Minutes (SPDR S&P 500) data, from June 28, 2024 to July 11, 2025.
Equity curve is the strategy's performance over time. You should compare it to the asset's Buy & Hold performance. In general, you want the blue area to be well above the gray area.
Drawdown is how much losses (realized or unrealized) the strategy has had if compared to the highest equity peak. Compare this to the asset's drawdown to see whether your strategy does a decent job of isolating you from downside volatility. In general, the red area must be well within the gray area.
So, we have backtested Buy at close/Sell at open on 12.6 months of SPY • 10 Minutes candles. This backtest resulted in 255 positions, with the average win rate of 51% and reward-risk ratio of 1.01. If you assume that 1.01 reward-to-risk ratio holds, you need a minimum win rate of 49.8 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 1.00% vs 14.30% for the asset
- Max Drawdown: Max Drawdown: -4.80% vs -20.70% for the asset
- Exposure: Exposure: 5.10% time in the market
- Win Rate: Win Rate: 51.0%, vs 49.8% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 1.01
With that exposure in mind, you can tell that for 5% time-in-market, you get 6.99% of the asset upside potential, and 23.19% of the asset downside potential.
Buy at close/Sell at open: enter a position when
All of the following: # Yankee 10min Date&Time, Custom TZ (UTC+3), Time = 1550
Buy at close/Sell at open: exit a position when
All of the following: # Bravo 10min Date&Time, Custom TZ (UTC+3), Time = 930
Buy at close/Sell at open @ SPY • 10 Minutes (1.0%) backtest results explained by Alex C, Mike
Alex C
AuthorThe strategy shows quite weak performance characteristics. With a net profit of only 1% over 12.6 months versus buy & hold return of 14.3%, it's significantly underperforming the market. The negative Sharpe and Sortino ratios (-1.35) indicate poor risk-adjusted returns, which is problematic from risk management perspektive.
The win rate of 51% with risk/reward ratio of 1.01 is technically above the minimal sufficient win rate of 49.8%, but these margins are too thin to be reliable. The average win (0.15%) and loss (-0.14%) sizes are nearly identical, suggesting the strategy lacks any meaningful edge. The market exposure of only 5.1% means the strategy sits in cash most of the time, which explains the significant underperformance versus buy & hold.
I would not recommend trading this strategy in its current form. The metrics suggest it's essentially a coin flip with added transaction costs. While the win rate leeway looks good on paper, the actual profit potential is too small relative to the effort and risk involved. One would need significantly better risk/reward characteristics - at least 1:2 - to make this worthwhile. Consider adjusting entry/exit criteria or exploring different timeframes.
Mike
AuthorYo fam, this overnight strategy on SPY is giving me mixed feelings! 🤔 The win rate is looking pretty decent at 51% and the risk/reward is balanced at 1.01, but that 1% total return over a year is kinda weak sauce compared to just holding SPY which gave 14.3%.
The strategy is super consistent though - you're only exposed to the market 5.1% of the time and it's giving steady small wins and losses (0.15% wins vs -0.14% losses). I love how it's basically doing one trade per day, perfect for us Wendy's warriors who can't watch charts all day! 💪 The win rate leeway is absolutely massive at 50.5% above what we need, which means this strategy is mathematically solid AF.
The main downside is those negative Sharpe and Sortino ratios (-1.35) showing it's not great on a risk-adjusted basis. Plus that 4.8% max drawdown could be scary if you're trading with leverage (which lowkey I probably would 😅). But hey, with such minimal market exposure and consistent results, this could be a decent base strategy to build on! Maybe add some filters or combine it with other setups to juice those returns? 🚀
Tabular metrics of Buy at close/Sell at open backtested on SPY • 10 Minutes
| Total Trades | 255 | Net Profit | 1.0% | Buy & Hold Profit | 14.3% |
| Win Rate | 51% | Reward/Risk Ratio | 1.01 | Max Drawdown | -4.8% |
| Asset Max Drawdown | -20.7% | Exposure | 5.1% | Avg Candles in Position | 1.0 |
| Sharpe Ratio | -1.35 | Sortino Ratio | -1.35 | Realized Volatility | 3.24% |
| Max Winning Streak | 9 | Avg Winning Streak | 1.9 | Max Losing Streak | 6 |
| Avg Losing Streak | 1.8 | Avg Trades per Month | 40.5 | Avg Trades per Day | 1.3 |
| Return Std Dev | 0.2 | Loss Std Dev | 0.1 | Win Std Dev | 0.2 |
| Expectancy | 0.0 | Beta | 0.03 |
All backtests for Buy at close/Sell at open
| backtest | exposure | peformance vs asset | drawdown vs asset | win% | reward/risk |
|---|---|---|---|---|---|
GLD • 10 Minutes | 5% | (-0.5%/43.7%) -0.01x | (-6.5%/-8.3%) 0.78x | 50 | 1.0 |
NVDA • 10 Minutes | 5% | (4.8%/32.9%) 0.15x | (-20.9%/-42.8%) 0.49x | 50 | 1.1 |
SPY • 10 Minutes | 5% | (1.0%/14.3%) 0.07x | (-4.8%/-20.7%) 0.23x | 51 | 1.0 |
TSLA • 10 Minutes | 5% | (24.5%/59.0%) 0.42x | (-12.6%/-55.3%) 0.23x | 50 | 1.2 |
WMT • 10 Minutes | 5% | (17.8%/40.1%) 0.44x | (-3.8%/-23.8%) 0.16x | 52 | 1.3 |