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< BACK TO ALL REPORTS

Analyzing SPY day-by-day

Jay Kaeppel
2022-03-09
Does it matter to the stock market what day of the week it is? Or whether the stock market gaps open lower or higher? Do you make more money when the market is open - or closed? We crunched the numbers and report them here.

Key Points

  • Does the day of the week matter in the stock market?
  • Is performance different intraday than it is overnight?
  • Do opening gaps matter?
  • In this piece, we take a closer look at the answers to these questions

Testing SPY

For our testing, we will use daily open/high/low/close data for SPY (SPDR S&P 500 ETF Trust) from 1/29/1993 through 3/7/2022. Note that no allowances are made for slippage or commissions. We are strictly analyzing price changes.

For each day of the week, we will examine:

  • Performance from the previous close to today's open (i.e., overnight price change)
  • Performance from today's open to today's close (i.e., intraday price change)
  • Performance from today's open to today's close IF today's open is higher than the previous close
  • Performance from today's open to today's close IF today's open is lower than or equal to the previous close

The data will be presented as is, with no intended inferences about what may be helpful and what may not.

Previous close to today's open versus today's open to close

The first chart below shows the growth of $1 in SPY held only overnight (black line) versus the growth of $1 in SPY held intraday, i.e., open to close (blue line) for ALL trading days. The 2nd chart shows the same data on a logarithmic scale.

Results

  • Overnight % +(-) = +1,000.9%
  • Intraday % +(-) = (-13.3%)

Monday

The first chart below shows the growth of $1 in SPY held only overnight (black line) into Mondays open versus the growth of $1 in SPY held intraday, i.e., open to close only on Monday (blue line).

The next chart shows the growth of $1 in SPY held intraday if SPY opened higher versus the growth of $1 in SPY held intraday if SPY opened lower or unchanged.

Results

  • Overnight % +(-) = +53.0%
  • Net Intraday % +(-) = +6.5%
  • Intraday % +(-) if higher open = +23.2%
  • Intraday % +(-) if lower open = (-13.6%)

Tuesday

The first chart below shows the growth of $1 in SPY held only overnight (black line) into Tuesday's open versus the growth of $1 in SPY held intraday, i.e., open to close only on Tuesday (blue line).

The next chart shows the growth of $1 in SPY held intraday if SPY opened higher versus the growth of $1 in SPY held intraday if SPY opened lower or unchanged.

Results

  • Overnight % +(-) = +185.4%
  • Net Intraday % +(-) = +0.3%
  • Intraday % +(-) if higher open = (-14.3%)
  • Intraday % +(-) if lower open = +17.0%

Wednesday

The first chart below shows the growth of $1 in SPY held only overnight (black line) into Wednesday's open versus the growth of $1 in SPY held intraday, i.e., open to close only on Wednesday (blue line).

The next chart shows the growth of $1 in SPY held intraday if SPY opened higher versus the growth of $1 in SPY held intraday if SPY opened lower or unchanged.

Results

  • Overnight % +(-) = +72.8%
  • Net Intraday % +(-) = +24.1%
  • Intraday % +(-) if higher open = (-17.5%)
  • Intraday % +(-) if lower open = +50.0%

Thursday

The first chart below shows the growth of $1 in SPY held only overnight (black line) into Thursday's open versus the growth of $1 in SPY held intraday, i.e., open to close only on Thursday (blue line).

The next chart shows the growth of $1 in SPY held intraday if SPY opened higher versus the growth of $1 in SPY held intraday if SPY opened lower or unchanged.

Results

  • Overnight % +(-) = +25.3%
  • Net Intraday % +(-) = (-8.2%)
  • Intraday % +(-) if higher open = +11.7%
  • Intraday % +(-) if lower open = (-17.8%)

Friday

The first chart below shows the growth of $1 in SPY held only overnight (black line) into Thursday's open versus the growth of $1 in SPY held intraday, i.e., open to close only on Thursday (blue line).

The next chart shows the growth of $1 in SPY held intraday if SPY opened higher versus the growth of $1 in SPY held intraday if SPY opened lower or unchanged.

Results

  • Overnight % +(-) = +16.4%
  • Net Intraday % +(-) = (-28.8%)
  • Intraday % +(-) if higher open = (-16.0%)
  • Intraday % +(-) if lower open = (-15.2%)

Summary of Results

What the research tells us…

Some general observations:

  • Holding overnight accounted for all gains
  • Holding intraday showed a small net loss
  • Tuesday and Wednesday are "turnaround" days (i.e., higher opens lead to lower closes and vice versa)
  • Monday and Thursday are "continuation" days (i.e., higher opens lead to higher closes and vice versa)
  • Friday is the worst day to hold intraday, but the best day to buy at the close
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Risk Disclosure: The information and tools provided are for research and analytical purposes only and are not intended as investment advice. Market analysis involves uncertainty, and outcomes may differ from expectations. Users should conduct their own due diligence and consider their individual circumstances before making any financial decisions. Past performance is not necessarily indicative of future results.

Hypothetical Performance Disclosure: Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown; in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk of actual trading. for example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all which can adversely affect trading results.

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