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SPY Day Trading Strategy

Last Updated on 13 February, 2024 by Abrahamtolle

SPY Day Trading Strategy: Analyzing Returns in the First Hour, Middle of the Day, and the Last Hour

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:
SPY Day Trading Strategy
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.


– What is day trading, and how is it divided in terms of time segments during the trading day? Day trading involves buying and selling financial instruments within the same trading day. It is divided into time segments: the first hour, the middle of the day, and the last hour. – What are the accumulated returns during the different time segments of the trading day from 2010 to the present? The accumulated returns during different time segments from 2010 to the present show that the most return came in the last hour, while the middle of the trading day appeared to be more noise in terms of returns. – What did Brett Steenbarger’s research reveal about when SPY had the most accumulated returns during the trading day? Brett Steenbarger’s research indicated that the most accumulated returns for SPY occurred in the first and last hours of the trading day, with the middle hours having a net loss.
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