The SPY is gaping up 2% this morning. The plot above shows the results for buying the SPY at the open and holding until the end of the day and holding until the close of the following one, two, and five days. There does not appear to be any edge based on the 2% gap up. The average return is negative for all of the tested time periods. None of the results are statistically significant. However, note that the prior four trades during late 2008 were profitable when buying the gap up open and holding until the close.
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