Research & Backtesting Studies
Quantitative research published openly. Each study starts with a clear question, tests it against real data, and shares exactly what the numbers show. No conclusions dressed up before the data is in.
The Overnight Edge: Where S&P 500 Returns Actually Come From
Most traders spend their day watching a screen. The data suggests they are watching the wrong hours.
This study analyzed SPY returns from 1996 through late 2025 and found that the overnight session, the period from the previous close to the following open, accounted for +879.77% of the total compounded return over that period. The intraday session, the actual 6.5 hours the market is open each day, contributed +8.77%.
Nearly three decades of data. Less than 1% of the gains happened during trading hours.
The persistence of this pattern across multiple market regimes suggests a structural driver rather than a temporary anomaly. Earnings, economic data, and major market-moving events almost exclusively occur outside regular trading hours. By the time the opening bell rings, most of the price discovery has already happened.
This finding is one of the foundational research pieces behind the Trend ORP engine in the Elite SPY Trading System.
This study analyzed SPY returns from 1996 through late 2025 and found that the overnight session, the period from the previous close to the following open, accounted for +879.77% of the total compounded return over that period. The intraday session, the actual 6.5 hours the market is open each day, contributed +8.77%.
Nearly three decades of data. Less than 1% of the gains happened during trading hours.
The persistence of this pattern across multiple market regimes suggests a structural driver rather than a temporary anomaly. Earnings, economic data, and major market-moving events almost exclusively occur outside regular trading hours. By the time the opening bell rings, most of the price discovery has already happened.
This finding is one of the foundational research pieces behind the Trend ORP engine in the Elite SPY Trading System.
Backtesting the CNN Fear and Greed Index: What 9,000 Trades Actually Show
The CNN Fear and Greed Index is one of the most cited sentiment tools in retail trading. But citing it and testing it are two different things.
This study ran the index through a systematic backtest across more than 9,000 trades to answer a simple question: does extreme fear or extreme greed actually predict forward returns in SPY? The results challenge several assumptions that most traders take for granted.
This study ran the index through a systematic backtest across more than 9,000 trades to answer a simple question: does extreme fear or extreme greed actually predict forward returns in SPY? The results challenge several assumptions that most traders take for granted.
| backtested_cnn_fear___greed_index_across_9000__trades_and_heres_what_the_data_says.pdf |
ATR Extension Breakout Study: Interactive tool exploring forward returns after a stock breaks above a significant ATR extension level. 25 years of Nasdaq 100 data, non-survivorship bias corrected. Explore the results yourself.
More studies are published regularly on the Trading Time Machine Substack. Free to subscribe.
Subscribe at backtest.substack.com
Subscribe at backtest.substack.com