I found a description of supposed to be profitable strategy on Bloomberg. The strategy is simple – buy S&P500 index on close and sell it on next day open.
So, I tested this claim and got nice P/L curve:
Yes, since 1993 this strategy has generated the profit >300%. But, neither commissions or slippage are included:)
Let’s consider 0.0007% commissions+slippage(7$ per 10000 trade). There we go:
Is it good? I will look for somethig better…