# Overnight vs Intraday Return (JP Growth Stocks)

- **Slug**: `overnight-intraday-jp-growth`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: intraday, overnight, return-decomposition
- **Source**: qbuntu-analysis (computed asof 2026-07-29T01:09:08)
- **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-growth
- **JSON**: https://qbuntu.ai/v1/strategies/overnight-intraday-jp-growth
- **License**: CC-BY-4.0

## Hypothesis

Lou, Polk, Skouras (2019): decompose returns into overnight (Close→Open) and intraday (Open→Close) components. Tests whether one component has more predictive power for future cross-sectional returns.

## Why it didn't work

Across 768 grid combinations, median Sharpe=-0.35, best=0.90. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.3481 |
| Max drawdown | -22.7% |
| p-value | 0.33 |
| Backtest period | 2022-02-01 to 2026-06-01 |

Sharpe distribution across 768 grid runs: median -0.35, best 0.9 (best-case — not representative), worst -1.95, p25 -0.84, p75 0.08.

## 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 Growth Market, ~495 stocks, tv >= 30M JPY

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-overnight-intraday-jp-growth-0000` | cost_bps=5, n_stocks=5, regime_gate=false, signal_type="overnight" | -0.14 | -1.48 | 0.62 | -5.63 |
| `r-overnight-intraday-jp-growth-0001` | cost_bps=5, n_stocks=5, regime_gate=true, signal_type="overnight" | -0.31 | -1.74 | 0.62 | -5.63 |
| `r-overnight-intraday-jp-growth-0002` | cost_bps=10, n_stocks=5, regime_gate=false, signal_type="overnight" | -0.28 | -1.66 | 0.48 | -5.79 |
| `r-overnight-intraday-jp-growth-0003` | cost_bps=10, n_stocks=5, regime_gate=true, signal_type="overnight" | -0.42 | -1.8 | 0.48 | -5.79 |
| `r-overnight-intraday-jp-growth-0012` | cost_bps=5, n_stocks=50, regime_gate=false, signal_type="overnight" | -1.39 | -0.62 | -1.5 | -12.21 |
| `r-overnight-intraday-jp-growth-0014` | cost_bps=10, n_stocks=50, regime_gate=false, signal_type="overnight" | -1.95 | -1.22 | -2.04 | -15.12 |
| `r-overnight-intraday-jp-growth-0042` | cost_bps=10, n_stocks=20, regime_gate=false, signal_type="overnight" | -0.16 | 0.67 | -0.24 | -3.91 |
| `r-overnight-intraday-jp-growth-0048` | cost_bps=5, n_stocks=5, regime_gate=false, signal_type="overnight" | 0.04 | 0.36 | -0.02 | -0.43 |
| `r-overnight-intraday-jp-growth-0080` | cost_bps=5, n_stocks=5, regime_gate=false, signal_type="overnight" | -0.36 | -1.36 | -0.06 | 0.02 |
| `r-overnight-intraday-jp-growth-0117` | cost_bps=5, n_stocks=10, regime_gate=true, signal_type="overnight" | -0.27 | -0.96 | -0.08 | -0.05 |
| `r-overnight-intraday-jp-growth-0154` | cost_bps=10, n_stocks=20, regime_gate=false, signal_type="overnight" | -0.24 | -1.32 | 0.6 | -3.69 |
| `r-overnight-intraday-jp-growth-0191` | cost_bps=10, n_stocks=50, regime_gate=true, signal_type="overnight" | -0.39 | 0.2 | -0.76 | -2.39 |
| `r-overnight-intraday-jp-growth-0192` | cost_bps=5, n_stocks=5, regime_gate=false, signal_type="overnight" | -0.81 | -0.19 | -1 | -2 |
| `r-overnight-intraday-jp-growth-0229` | cost_bps=5, n_stocks=10, regime_gate=true, signal_type="overnight" | 0.37 | 0.91 | 0.24 | -1.6 |
| `r-overnight-intraday-jp-growth-0256` | cost_bps=5, n_stocks=5, regime_gate=false, signal_type="intraday" | -0.78 | 0.28 | -1.14 | -0.81 |
| `r-overnight-intraday-jp-growth-0267` | cost_bps=10, n_stocks=20, regime_gate=true, signal_type="intraday" | -1.08 | -0.78 | -1.37 | 2.4 |
| `r-overnight-intraday-jp-growth-0304` | cost_bps=5, n_stocks=5, regime_gate=false, signal_type="intraday" | -0.55 | 0.94 | -0.64 | -3.82 |
| `r-overnight-intraday-jp-growth-0341` | cost_bps=5, n_stocks=10, regime_gate=true, signal_type="intraday" | -0.95 | -0.02 | -1.36 | 1.27 |
| `r-overnight-intraday-jp-growth-0378` | cost_bps=10, n_stocks=20, regime_gate=false, signal_type="intraday" | -1.44 | -0.29 | -1.81 | -0.72 |
| `r-overnight-intraday-jp-growth-0415` | cost_bps=10, n_stocks=50, regime_gate=true, signal_type="intraday" | -0.69 | -0.59 | -0.71 | -0.96 |
| `r-overnight-intraday-jp-growth-0452` | cost_bps=5, n_stocks=10, regime_gate=false, signal_type="intraday" | -0.9 | -0.61 | -1.16 | 0.79 |
| `r-overnight-intraday-jp-growth-0489` | cost_bps=5, n_stocks=20, regime_gate=true, signal_type="intraday" | -0.37 | 0.56 | -0.75 | -1.1 |
| `r-overnight-intraday-jp-growth-0512` | cost_bps=5, n_stocks=5, regime_gate=false, signal_type="overnight_minus_intraday" | 0.75 | -0.86 | 1.35 | -0.52 |
| `r-overnight-intraday-jp-growth-0527` | cost_bps=10, n_stocks=50, regime_gate=true, signal_type="overnight_minus_intraday" | -1.09 | -0.69 | -1.58 | -5.64 |
| `r-overnight-intraday-jp-growth-0564` | cost_bps=5, n_stocks=10, regime_gate=false, signal_type="overnight_minus_intraday" | 0.5 | -0.15 | 0.52 | 2 |
| `r-overnight-intraday-jp-growth-0601` | cost_bps=5, n_stocks=20, regime_gate=true, signal_type="overnight_minus_intraday" | 0.54 | -0.32 | 1.26 | -3.83 |
| `r-overnight-intraday-jp-growth-0628` | cost_bps=5, n_stocks=10, regime_gate=false, signal_type="overnight_minus_intraday" | 0.9 | -0.27 | 1.4 | 0.41 |
| `r-overnight-intraday-jp-growth-0639` | cost_bps=10, n_stocks=50, regime_gate=true, signal_type="overnight_minus_intraday" | 0.03 | -0.42 | 0.34 | -0.21 |
| `r-overnight-intraday-jp-growth-0676` | cost_bps=5, n_stocks=10, regime_gate=false, signal_type="overnight_minus_intraday" | -0.08 | 0.39 | 0.06 | -4.74 |
| `r-overnight-intraday-jp-growth-0713` | cost_bps=5, n_stocks=20, regime_gate=true, signal_type="overnight_minus_intraday" | -0.44 | -0.48 | -0.44 | -0.17 |

## Facts (7)

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

- **Average monthly return correlation with other strategies in DOWN regime: 0.17**
  - Value: 0.173 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/overnight-intraday-jp-growth-fact-avg-corr-down

- **Average monthly return correlation with other strategies (full period): 0.09**
  - Value: 0.0855 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/overnight-intraday-jp-growth-fact-avg-corr-full

- **Best grid Sharpe ratio is 0.90 (p=0.062).**
  - Value: 0.9 sharpe_ratio
  - Context: period 2022-02-01–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/overnight-intraday-jp-growth-fact-best-sharpe

- **Median Sharpe across 768 grid runs is -0.35.**
  - Value: -0.35 sharpe_ratio
  - Context: Full grid of 768 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/overnight-intraday-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is -1.71 across 768 runs.**
  - Value: -1.71 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/overnight-intraday-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is -0.37 across 768 runs.**
  - Value: -0.37 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/overnight-intraday-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is -0.30 across 768 runs.**
  - Value: -0.3 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/overnight-intraday-jp-growth-fact-regime-up

---

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

Visit qbuntu.ai — the honest scorecard for quant strategies (live, promising, marginal, rejected).