Stock intraday momentum

Checked October 2026

The rule takes the move from yesterday's close to 10:00 a.m. and trades that same direction from 3:30 p.m. to the close. Gao, Han, Li and Zhou published it on SPY in the Journal of Financial Economics in 2018. Backtoast ran it. The paper's version failed our test, losing 9.4% a year over 1,252 trades.

Backtoast

You pay $99 for two full tests of your own strategy, and a pass is an offer of 30% of the profit Backtoast makes trading it with its own money.

Stock intraday momentum

A positive morning is a long into the close, and a flat or negative morning is a short, with the whole account. The position is closed at 4:00 p.m., so nothing is held overnight. The same idea on index futures is last half hour momentum.

Bitcoin intraday momentum uses the same last-half-hour idea on bitcoin.

When it works

The paper found the pattern strongest on volatile, high-volume days, in recessions and on some major economic news days. Traders use it because it's one trade a day with nothing held overnight. Trading only the more volatile days is the first filter to try, and a draft can test that before you spend a full test.

Origins

Gao, Han, Li and Zhou reported 6.67% a year on SPY from 1993 to 2013 before costs, and 4.46% a year after bid-ask costs from 2001. The run used SPY from late 2021 to October 2026.

The run is Backtoast's, from 29 October 2026, after costs.