Use First Hour High/Low to Guide SPY Rest-of-day Trading?

A subscriber asked about practical exploitation of the hypothesis that the high and low of an exchange-traded fund (ETF) during 9:30AM-10:30AM are informative about its high and low during 10:31AM-4PM. To investigate, we obtain minute-by-minute open, high, low and close prices for SPDR S&P 500 ETF Trust (SPY) for 2019. From that data, we extract the high and low during 9:30AM-10:30AM and the high, low and close for 10:31AM-4:00PM for each trading day. To test explicitly whether the 9:30AM-10:30AM high (low) is indicative of the 10:31AM-4:00PM high (low), we:

• Sell SPY during 10:31AM-4:00PM if it rises to the 9:30AM-10:30AM high and close the short position at 4:00PM.
• Buy SPY during 10:31AM-4:00PM if it falls to the 9:30AM-10:30AM low and close the long position at 4:00PM.

Using the specified SPY price data for 2019, we find that:

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