I did this study early last year, but did not update it till today.
A bad oversight.

It compares holding a portfolio in SP500 futures only overnight (close to open) versus holding only during RTH (open to close).

Till summer 2015 the bulk of the advance in SP500 was made overnight.
So holding long a position overnight was the right choice.

But after the 1st leg down in mid 2015 till today any advance is made during regular trading hours.

IMO it still can make sense to hold a long position in profit overnight if one has a good reason for a swing.
But one should expect a countermove overnight - not more favorable advance.

What caused the change ?
I have no idea.
Do the Chinese sell overnight to raise money - is the overnight futures market enough for this ?
Do the Etfs work differently now - IMHO they were the main reason for the mean reversion character of the SP500 rth in the past.
Is this a healthy development - the strength coming from within US ?

I plan to not hold longs overnight, if I do not have a good lead and "only" entered based on some intraday development.

ES cv overnight vs rth 1605.pdf