One of the most surprising (and persistent) characteristics of the U.S. stock market is when returns actually occur. Many traders intuitively assume that gains are earned during regular trading hours, but historical data tells a very different story:

A majority of long-term market returns come from overnight exposure, not intraday trading.

To demonstrate this clearly, I built and tested two extremely simple strategies in WealthLab, using only Building Blocks, and ran them on SPY over the full available date range using 100% of equity.

Both strategies are intentionally minimal. The only difference between them is when they are invested.

Strategy 1: Overnight Exposure (Close → Open)

The first strategy captures overnight returns by buying at the market close and selling at the next market open.

Strategy Logic

• Entry: Buy Next Bar at Market Close
• Exit: Sell at Market (which executes at the next bar’s open)

This creates a position that is held only overnight.

Important Building Block Detail

To make this work correctly in WealthLab’s Building Block Strategy Designer, I had to make one key adjustment:

• Position Sizing: Changed from Single Position to Multiple Positions

This allows the backtester to enter a new position on the same bar that the previous position exits at the open. Without this change, the strategy would incorrectly skip days.

Results on SPY

• Annualized Return: 7.01%

With no indicators, no filters, and no optimization, simply holding SPY overnight captured the majority of its long-term growth.

Strategy 2: Intraday Exposure (Open → Close)

The second strategy captures intraday returns only, entering at the open and exiting at the close of the same trading day.

Strategy Logic

• Entry: Buy at Market

• Exit: Sell at Market Close (from the Power Pack extension)

Important Building Block Detail

For this strategy to exit on the same day it enters, I needed to:

• Enable the “Same Bar” checkbox on the Market Close exit block

This ensures the trade opens at the market open and closes at the market close of that same session.

Results on SPY

• Annualized Return: 1.03%

Despite being invested every single trading day, the intraday-only strategy captured very little of the market’s long-term return.

The Takeaway: Overnight Is Where the Money Is

Here’s the key comparison:

Strategy	Entry → Exit	What It Captures	Annualized Return
Overnight	Close → Open	Overnight market exposure	7.01%
Intraday	Open → Close	Regular session trading	1.03%

The conclusion is hard to ignore:

Most of the U.S. market’s gains occur overnight.

This aligns with academic research and decades of market data, but seeing it confirmed with two simple, transparent strategies makes the point especially clear.

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Why This Matters for Strategy Design

This insight has important implications:

• Intraday trading faces headwinds from spreads, commissions, and noise
• Many long-term strategies benefit from overnight risk premia
• Timing when you are invested can matter more than complex indicators

It also highlights the strength of WealthLab’s Building Blocks: you can test powerful market hypotheses in minutes, without writing a single line of code.

Try It Yourself

Both strategies were built entirely with WealthLab Building Blocks and can be easily recreated, modified, and extended.

• Add filters (trend, volatility, regime)
• Apply to other ETFs or futures
• Combine overnight exposure with risk management rules
• Incorporate into MetaStrategies or portfolio systems

Sometimes the most valuable insights come from the simplest experiments — and WealthLab makes those experiments easy.

Downloads

Download both Strategies here (zip file): https://drive.google.com/file/d/1AtgIPCk67pv1ayu-GUWCBv3WZ00RvP7z/view?usp=sharing