Indeed. I pulled the data and mostly reproduced the results when starting on Jan 1, 1990 (I got 1/20 of a penny for day trading, but "only" somewhere in the $600-650 range for overnight trading, depending on the choice of end date. Close enough to proceed with additional analysis, IMO.
If instead I pick my starting point as Jan 1, 2012, I see $1.15 for day trading vs $2.24 for overnight trading. (Note that there was again another black swan event in Feb-March 2020, before which point day trading was actually doing better than overnight trading.)
Tracking deltas (well, day-over-day multipliers) as you suggest since 1990 shows that the two shapes are qualitatively more similar (although day trading is more volatile):
- 0.1st percentile: day trading: 0.803 vs overnight trading: 0.871
- 1st percentile: day trading: 0.932 vs overnight trading: 0.960
- 99th percentile: day trading: 1.059 vs overnight trading: 1.052
- 99.9th percentile: day trading: 1.189 vs overnight trading: 1.222
If instead I pick my starting point as Jan 1, 2012, I see $1.15 for day trading vs $2.24 for overnight trading. (Note that there was again another black swan event in Feb-March 2020, before which point day trading was actually doing better than overnight trading.)
Tracking deltas (well, day-over-day multipliers) as you suggest since 1990 shows that the two shapes are qualitatively more similar (although day trading is more volatile):
- 0.1st percentile: day trading: 0.803 vs overnight trading: 0.871
- 1st percentile: day trading: 0.932 vs overnight trading: 0.960
- 99th percentile: day trading: 1.059 vs overnight trading: 1.052
- 99.9th percentile: day trading: 1.189 vs overnight trading: 1.222