Leave out the leverage (like Harris & Yilmaz), the argument still stands. Returns are reduced and so are drawdowns. If [equity = point value x future price] then the intraday risk is equal to simply holding the underlying, the positive returns however still remain and according to the OP they should not because he claims markets are entirely random and fully efficient alongside the EMH arguments. You realize your argument of catastrophic correlated adverse XX% moves is sufficient to invalidate any type of overnight strategy -- I could even easily extend it to any type of intraday trading. Who says that X years of historic data are enough to rule out a fat tail overnight/intraday event? The next logical step would be to argue investing only in bond/equity/commodity indexes as opposed to try outperforming those indexes by ways of trading because markets are efficient in an EMH sense. I could e.g. argue value investing (just to pick a random strategy) is "flawed" because drawdowns are "too big" and stops don't mitigate catastrophic risk because they don't guarantee frictionless execution -- a X% sell stop would be executed with a 99% loss in a -99% overnight gap. Then I argue Munger, Buffet, Klarman, Berkowitz etc. are statistical flukes and simply the result of survivorship bias and how there are legions of big value investors who blew up in spectacular drawdowns because their strategy has no "real edge" over buy & hold. The last nail in the coffin would be the claim how all scientific research showing that equity value factors historically outperform buy & hold over long cycles are simply chasing patters in random data with the bias of hindsight and are thus the result of data snooping. Voila, there are no market inefficiencies!