Day Trading SPY: Returns In The First Hour, Middle of The Day and The Last Hour

Last Updated on May 20, 2022 by Quantified Trading

In day trading, what are the returns in the first hour, middle of the day, and in the last hour?

I have lately broken down the trading day into performance during the first hour, the middle of the day, and the last hour. Previously I have written two articles about when SPY establishes the high and low during the trading day:

Brett Steenbarger had an interesting post some years back about when at what time of the day SPY had the most accumulated returns (I can’t find the post now, he has written hundreds). I remember his conclusion: Most of the return happened in the first and last hour of the trading day, and that the middle had a net loss.

Dividing the trading day into the first hour, the middle/lunch hours, and the last hour, we get the following accumulated returns from 2010 until the present:

 

 

 

 

 

 

 

 

 

The most return came in the last hour of this period. But again, the middle of the trading is just noise (at least more noise in the first and last hour).

We updated parts of this article later in an article called the return during the last hour of trading.

 

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  • Thanks Atrader,

    Interesting, I’ve done an immense testing lately, and I tested another strategy like this today which I thought I’ll publish some time later (I’ve already written it). Put short, it seems to buy in the last hour on a strong day!

    • Hi Rob,

      Thanks a lot for your input.I’m glad I can grab some attention and get some feedback, this is my purpose with writing this site.

      I’ve been trading this pattern for a about a year, but I haven’t fully understood why this late rally occured. Guess I have been to ignorant! Actually I wrote about it yesterday and planned to publish it later when I have nothing else to write about.

      Thanks for the link, I’ll have a look at it.