I have looked at the numbers myself and verified that it is true. The biggest problem I see with the strategy is the cost of trading. I use Interactive Brokers where I can trade for half a cent per share. Since there would be 10 trades/week that equals .50, which is almost .4% lost per week using SPY. That is a pretty steep number to overcome. So for now I have just put this idea in the curious fact file.
If one wanted to trade say a $100k account with TD at $8 per trade, now it might start to make some sense.
As far as trading at the open, I have never tried it but IB has a MOO order type, Market On Open. They also have a MOC, Market on Close, that I have used often and works great. As I remember, the executed price was always very close to the printed closing price. It was at least so close that I don't remember, so it had to be close.
I am no good at trying to figure out where the market will open tomorrow. Several that I know trade futures all night, so if there is a gap up or down, they have already make their money.
Good luck with your system. I know you do good work.
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