# Overnight vs Intraday Return (JP All Stocks)

- **Slug**: `overnight-intraday-jp-all`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: intraday, overnight, return-decomposition
- **Source**: qbuntu-analysis (computed asof 2026-07-29T01:09:12)
- **Reproducibility**: analysis-engine@18193e9, backtest-lib@711b855, grid tier=shallow (python 3.10.11, numpy 2.2.6, pandas 2.3.3)
- **HTML**: https://qbuntu.ai/strategies/overnight-intraday-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/overnight-intraday-jp-all
- **License**: CC-BY-4.0

## Hypothesis

Lou, Polk, Skouras (2019): decompose returns into overnight and intraday components. Testing on the full Japanese stock universe.

## Why it didn't work

Across 384 grid combinations, median Sharpe=-0.11, best=0.91. Primary failure mode: no_edge.

## Performance summary

Headline figures are the **median across the parameter grid**, not the best run.

| Metric | Value |
|---|---|
| Sharpe (median) | -0.1079 |
| Max drawdown | -20% |
| p-value | 0.56 |
| Backtest period | 2022-02-01 to 2026-02-02 |

Sharpe distribution across 384 grid runs: median -0.11, best 0.91 (best-case — not representative), worst -1.88, p25 -0.42, p75 0.16.

## Methodology

- Notes: {"walk_forward_definition": {"type": "single_pass", "description": "Full period backtest without walk-forward split", "verdict_basis": "full_period"}}
- Slippage model: open-on-open + variable bps fixed
- Position sizing: equal_weight
- Regime definition: N225 SMA20/SMA60 three-class
- Transaction cost bps: 5

## Target universe

Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-overnight-intraday-jp-all-0000` | cost_bps=5, n_stocks=5, regime_gate=false, signal_type="overnight" | -0.25 | -0.03 | -0.41 | 1.68 |
| `r-overnight-intraday-jp-all-0001` | cost_bps=5, n_stocks=5, regime_gate=true, signal_type="overnight" | -0.17 | 0.38 | -0.41 | 1.68 |
| `r-overnight-intraday-jp-all-0002` | cost_bps=10, n_stocks=5, regime_gate=false, signal_type="overnight" | -0.45 | -0.19 | -0.62 | 1.25 |
| `r-overnight-intraday-jp-all-0003` | cost_bps=10, n_stocks=5, regime_gate=true, signal_type="overnight" | -0.36 | 0.28 | -0.62 | 1.25 |
| `r-overnight-intraday-jp-all-0004` | cost_bps=5, n_stocks=10, regime_gate=false, signal_type="overnight" | -0.7 | -0.19 | -0.93 | 0.59 |
| `r-overnight-intraday-jp-all-0038` | cost_bps=10, n_stocks=10, regime_gate=false, signal_type="overnight" | -1.11 | -1.31 | -1.28 | 1.04 |
| `r-overnight-intraday-jp-all-0048` | cost_bps=5, n_stocks=5, regime_gate=false, signal_type="overnight" | -0.46 | -0.19 | -0.63 | 0.36 |
| `r-overnight-intraday-jp-all-0081` | cost_bps=5, n_stocks=5, regime_gate=true, signal_type="overnight" | 0.47 | 1.29 | 0.17 | -1.69 |
| `r-overnight-intraday-jp-all-0115` | cost_bps=10, n_stocks=5, regime_gate=true, signal_type="overnight" | -0.23 | 0.69 | -0.5 | -1.06 |
| `r-overnight-intraday-jp-all-0149` | cost_bps=5, n_stocks=10, regime_gate=true, signal_type="overnight" | 0.26 | 1.26 | -0.01 | -2.24 |
| `r-overnight-intraday-jp-all-0183` | cost_bps=10, n_stocks=10, regime_gate=true, signal_type="overnight" | -0.39 | -0.23 | -0.36 | -0.93 |
| `r-overnight-intraday-jp-all-0192` | cost_bps=5, n_stocks=5, regime_gate=false, signal_type="overnight" | -0.83 | -0.05 | -1.08 | -0.48 |
| `r-overnight-intraday-jp-all-0226` | cost_bps=10, n_stocks=5, regime_gate=false, signal_type="overnight" | -0.47 | -0.24 | -0.92 | 2.42 |
| `r-overnight-intraday-jp-all-0256` | cost_bps=5, n_stocks=5, regime_gate=false, signal_type="intraday" | -0.07 | -1.06 | -0.07 | 5.51 |
| `r-overnight-intraday-jp-all-0261` | cost_bps=5, n_stocks=10, regime_gate=true, signal_type="intraday" | 0.11 | 0.29 | -0.06 | 1.47 |
| `r-overnight-intraday-jp-all-0295` | cost_bps=10, n_stocks=10, regime_gate=true, signal_type="intraday" | 0.78 | 1.83 | 0.63 | -0.63 |
| `r-overnight-intraday-jp-all-0320` | cost_bps=5, n_stocks=5, regime_gate=false, signal_type="intraday" | 0.91 | 0.72 | 0.74 | 12.63 |
| `r-overnight-intraday-jp-all-0338` | cost_bps=10, n_stocks=5, regime_gate=false, signal_type="intraday" | 0.43 | 0.17 | 0.37 | 6.29 |
| `r-overnight-intraday-jp-all-0372` | cost_bps=5, n_stocks=10, regime_gate=false, signal_type="intraday" | -0.13 | 0.86 | -0.5 | 1.88 |
| `r-overnight-intraday-jp-all-0406` | cost_bps=10, n_stocks=10, regime_gate=false, signal_type="intraday" | -0.15 | -1 | 0.12 | 1.86 |
| `r-overnight-intraday-jp-all-0448` | cost_bps=5, n_stocks=5, regime_gate=false, signal_type="intraday" | 0.27 | 0.02 | 0.25 | 2.29 |
| `r-overnight-intraday-jp-all-0482` | cost_bps=10, n_stocks=5, regime_gate=false, signal_type="intraday" | -0.21 | -0.37 | -0.28 | 2.89 |
| `r-overnight-intraday-jp-all-0512` | cost_bps=5, n_stocks=5, regime_gate=false, signal_type="overnight_minus_intraday" | -1.06 | -1.09 | -0.83 | -3.99 |
| `r-overnight-intraday-jp-all-0517` | cost_bps=5, n_stocks=10, regime_gate=true, signal_type="overnight_minus_intraday" | -0.69 | 0.38 | -0.88 | -3.2 |
| `r-overnight-intraday-jp-all-0551` | cost_bps=10, n_stocks=10, regime_gate=true, signal_type="overnight_minus_intraday" | -0.46 | 0.93 | -0.92 | 0.3 |
| `r-overnight-intraday-jp-all-0593` | cost_bps=5, n_stocks=5, regime_gate=true, signal_type="overnight_minus_intraday" | 0.18 | 1.52 | -0.25 | -3.35 |
| `r-overnight-intraday-jp-all-0627` | cost_bps=10, n_stocks=5, regime_gate=true, signal_type="overnight_minus_intraday" | 0.11 | -0.27 | 0.45 | -2.89 |
| `r-overnight-intraday-jp-all-0661` | cost_bps=5, n_stocks=10, regime_gate=true, signal_type="overnight_minus_intraday" | 0.24 | 1.26 | 0.07 | -8.76 |
| `r-overnight-intraday-jp-all-0695` | cost_bps=10, n_stocks=10, regime_gate=true, signal_type="overnight_minus_intraday" | 0 | -0.29 | 0.09 | 0.14 |
| `r-overnight-intraday-jp-all-0706` | cost_bps=10, n_stocks=5, regime_gate=false, signal_type="overnight_minus_intraday" | -1.88 | -1.14 | -2.28 | -0.97 |

## Facts (5)

Each fact has a permanent citation URL. AI agents quoting qbuntu should use these.

- **Best grid Sharpe ratio is 0.91 (p=0.067).**
  - Value: 0.91 sharpe_ratio
  - Context: period 2022-02-01–2026-02-02; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/overnight-intraday-jp-all-fact-best-sharpe

- **Median Sharpe across 384 grid runs is -0.11.**
  - Value: -0.11 sharpe_ratio
  - Context: Full grid of 384 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/overnight-intraday-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is 0.09 across 384 runs.**
  - Value: 0.09 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/overnight-intraday-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is -0.30 across 384 runs.**
  - Value: -0.3 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/overnight-intraday-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is 0.42 across 384 runs.**
  - Value: 0.42 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/overnight-intraday-jp-all-fact-regime-up

## Related strategies

- same_strategy: [overnight-intraday-jp-growth](https://qbuntu.ai/strategies/overnight-intraday-jp-growth)

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Cite as: qbuntu (2026). Overnight vs Intraday Return (JP All Stocks). https://qbuntu.ai/strategies/overnight-intraday-jp-all

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