Market structure · issue of Sep 7, 2026 · Daily, at the close
The Overnight Effect
Own the close-to-open, skip the day.
Most of SPY's long-run return arrived overnight. A daily round trip makes costs the whole question.
Stay flat overnight — volatility is in the top quarter of its 2-year range
Re-read at every close.
| Ticker | Name | Position |
|---|---|---|
| SPY | S&P 500, close to open | Flat |
Levels
| Last close | 759.81 | |
| 200-day average a close below it means flat that night | 728.85 | -4.1% |
The closes at which the rule, as published, would act. Read from the last close; they move with the market.
Track record
| Last 5 years | Since 2001 | Buy & hold SPY, since 2001 | |
|---|---|---|---|
| Annual return | 5.5% | 5.7% | 9.3% |
| Sharpe ratio | 0.86 | 0.97 | 0.56 |
| Worst drawdown | -14.4% | -14.4% | -55.2% |
A backtest with the issue's own costs, extended to the last close. Past performance does not guarantee future results.
Stance history
In the market 59 of the last 63 sessions, returning +1.3% across them. Last change Nov 6, 2026: Long → Flat.
Research Lab
Written down before the results existed: Every 21 sessions after the issue returns between -2.0% and +3.2%: the range of 90% of the 6,333 such stretches in the backtest up to Sep 4, 2026.
| Window | Return | Result | |
|---|---|---|---|
| Check 1 | Sep 8, 2026 – Oct 6, 2026 | +2.6% | Inside the range |
| Check 2 | Oct 7, 2026 – Nov 4, 2026 | -0.8% | Inside the range |
Check 3 is running: 5 of 21 sessions in, judged on Dec 4, 2026.
Standing check: the deepest fall since the issue is -2.5%, against a worst of -14.4% in the backtest — within it.
Checked by the program when each window completes and sealed into the record. Misses stay public; the record counts both ways.
The issue's numbers, reproduced
Every figure the issue printed, recomputed on the same window from the platform's own price history.
| Figure | In the issue | Recomputed | |
|---|---|---|---|
| Annual return, filtered | 5.5% | 5.7% | matches |
| Sharpe | 0.96 | 0.97 | matches |
| Worst drawdown | -14.4% | -14.4% | matches |
| Share of nights held | 64.2% | 65.9% | matches |
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