# Overnight vs Intraday Return (US S&P 500)

- **Slug**: `overnight-intraday-us-sp500`
- **Verdict**: marginal (regime_dependent)
- **Asset class**: equity
- **Categories**: intraday, overnight, return-decomposition
- **Source**: qbuntu-analysis (computed asof 2026-07-30T01:20:50)
- **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-us-sp500
- **JSON**: https://qbuntu.ai/v1/strategies/overnight-intraday-us-sp500
- **License**: CC-BY-4.0

## Hypothesis

Lou, Polk, Skouras (2019): decompose returns into overnight and intraday components. Applied to S&P 500 constituents.

## Why it didn't work

Across 768 grid combinations, median Sharpe=0.17, best=1.54. Primary failure mode: regime_dependent.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | 0.1673 |
| Max drawdown | -13.8% |
| p-value | 0.45 |
| Backtest period | 2022-02-01 to 2026-06-01 |

Sharpe distribution across 768 grid runs: median 0.17, best 1.54 (best-case — not representative), worst -1.55, p25 -0.2, p75 0.5.

## 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: GSPC SMA20/SMA60 three-class: UP (close>SMA20 AND SMA20>SMA60), DOWN (close<SMA20 AND SMA20<SMA60), FLAT (else)
- Transaction cost bps: 5

## Target universe

S&P 500 constituents, ~503 stocks

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-overnight-intraday-us-sp500-0000` | cost_bps=5, n_stocks=5, regime_gate=false, signal_type="overnight" | 0.01 | 0.25 | -0.25 | -0.12 |
| `r-overnight-intraday-us-sp500-0001` | cost_bps=5, n_stocks=5, regime_gate=true, signal_type="overnight" | -0.04 | 0.12 | -0.25 | -0.12 |
| `r-overnight-intraday-us-sp500-0002` | cost_bps=10, n_stocks=5, regime_gate=false, signal_type="overnight" | -0.24 | -0.02 | -0.51 | -0.33 |
| `r-overnight-intraday-us-sp500-0003` | cost_bps=10, n_stocks=5, regime_gate=true, signal_type="overnight" | -0.22 | 0.01 | -0.51 | -0.33 |
| `r-overnight-intraday-us-sp500-0012` | cost_bps=5, n_stocks=50, regime_gate=false, signal_type="overnight" | -0.49 | 0.17 | -1.29 | -0.49 |
| `r-overnight-intraday-us-sp500-0041` | cost_bps=5, n_stocks=20, regime_gate=true, signal_type="overnight" | 0.23 | 1.23 | -1.6 | 0.07 |
| `r-overnight-intraday-us-sp500-0048` | cost_bps=5, n_stocks=5, regime_gate=false, signal_type="overnight" | 0.12 | 0.59 | -1.27 | 0.44 |
| `r-overnight-intraday-us-sp500-0079` | cost_bps=10, n_stocks=50, regime_gate=true, signal_type="overnight" | -0.2 | 0.43 | -0.78 | -0.22 |
| `r-overnight-intraday-us-sp500-0116` | cost_bps=5, n_stocks=10, regime_gate=false, signal_type="overnight" | 0.52 | 1 | -0.13 | 0.61 |
| `r-overnight-intraday-us-sp500-0153` | cost_bps=5, n_stocks=20, regime_gate=true, signal_type="overnight" | 0.31 | 1.24 | -0.65 | -0.98 |
| `r-overnight-intraday-us-sp500-0190` | cost_bps=10, n_stocks=50, regime_gate=false, signal_type="overnight" | 0.15 | 1.26 | -0.99 | -0.89 |
| `r-overnight-intraday-us-sp500-0192` | cost_bps=5, n_stocks=5, regime_gate=false, signal_type="overnight" | 0.06 | 1.26 | -1.36 | -0.32 |
| `r-overnight-intraday-us-sp500-0228` | cost_bps=5, n_stocks=10, regime_gate=false, signal_type="overnight" | 0.46 | 2.12 | -0.75 | -0.73 |
| `r-overnight-intraday-us-sp500-0256` | cost_bps=5, n_stocks=5, regime_gate=false, signal_type="intraday" | 0.16 | 0.34 | 0.6 | -1.41 |
| `r-overnight-intraday-us-sp500-0266` | cost_bps=10, n_stocks=20, regime_gate=false, signal_type="intraday" | -0.4 | -0.69 | 0.27 | -0.79 |
| `r-overnight-intraday-us-sp500-0303` | cost_bps=10, n_stocks=50, regime_gate=true, signal_type="intraday" | -0.19 | 0.83 | -0.76 | -1.07 |
| `r-overnight-intraday-us-sp500-0340` | cost_bps=5, n_stocks=10, regime_gate=false, signal_type="intraday" | 0.64 | 0.04 | 0.89 | 2.71 |
| `r-overnight-intraday-us-sp500-0373` | cost_bps=5, n_stocks=10, regime_gate=true, signal_type="intraday" | 1.54 | 1.72 | 1.5 | 1.01 |
| `r-overnight-intraday-us-sp500-0378` | cost_bps=10, n_stocks=20, regime_gate=false, signal_type="intraday" | 0.84 | 0.69 | 0.75 | 1.44 |
| `r-overnight-intraday-us-sp500-0415` | cost_bps=10, n_stocks=50, regime_gate=true, signal_type="intraday" | 0.36 | 0.72 | -0.33 | 0.93 |
| `r-overnight-intraday-us-sp500-0452` | cost_bps=5, n_stocks=10, regime_gate=false, signal_type="intraday" | 1.02 | 1.35 | 0.47 | 1.36 |
| `r-overnight-intraday-us-sp500-0489` | cost_bps=5, n_stocks=20, regime_gate=true, signal_type="intraday" | 0.46 | 0.89 | 0.17 | -0.01 |
| `r-overnight-intraday-us-sp500-0512` | cost_bps=5, n_stocks=5, regime_gate=false, signal_type="overnight_minus_intraday" | -0.14 | 0.05 | -0.74 | 0.75 |
| `r-overnight-intraday-us-sp500-0527` | cost_bps=10, n_stocks=50, regime_gate=true, signal_type="overnight_minus_intraday" | -0.73 | -0.06 | -1.91 | -0.42 |
| `r-overnight-intraday-us-sp500-0564` | cost_bps=5, n_stocks=10, regime_gate=false, signal_type="overnight_minus_intraday" | -0.14 | 0.29 | -1.57 | 1.13 |
| `r-overnight-intraday-us-sp500-0601` | cost_bps=5, n_stocks=20, regime_gate=true, signal_type="overnight_minus_intraday" | 0.06 | 1.41 | -0.72 | -1.71 |
| `r-overnight-intraday-us-sp500-0638` | cost_bps=10, n_stocks=50, regime_gate=false, signal_type="overnight_minus_intraday" | -0.38 | 0.07 | -0.69 | -1.01 |
| `r-overnight-intraday-us-sp500-0675` | cost_bps=10, n_stocks=5, regime_gate=true, signal_type="overnight_minus_intraday" | -0.35 | 1.11 | -1.23 | -0.81 |
| `r-overnight-intraday-us-sp500-0712` | cost_bps=5, n_stocks=20, regime_gate=false, signal_type="overnight_minus_intraday" | -0.99 | -0.91 | -0.71 | -1.83 |
| `r-overnight-intraday-us-sp500-0718` | cost_bps=10, n_stocks=50, regime_gate=false, signal_type="overnight_minus_intraday" | -1.55 | -1.52 | -1.09 | -2.25 |

## Facts (5)

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

- **Best grid Sharpe ratio is 1.54 (p=0.002).**
  - Value: 1.54 sharpe_ratio
  - Context: period 2022-02-01–2026-06-01; cost=5bps
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/overnight-intraday-us-sp500-fact-best-sharpe

- **Median Sharpe across 768 grid runs is 0.17.**
  - Value: 0.17 sharpe_ratio
  - Context: Full grid of 768 parameter combinations.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/overnight-intraday-us-sp500-fact-median-sharpe

- **Median Sharpe in DOWN regime is -0.17 across 768 runs.**
  - Value: -0.17 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/overnight-intraday-us-sp500-fact-regime-down

- **Median Sharpe in FLAT regime is -0.50 across 768 runs.**
  - Value: -0.5 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/overnight-intraday-us-sp500-fact-regime-flat

- **Median Sharpe in UP regime is 0.84 across 768 runs.**
  - Value: 0.84 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/overnight-intraday-us-sp500-fact-regime-up

## Related strategies

- same_strategy: [overnight-intraday-jp-all](https://qbuntu.ai/strategies/overnight-intraday-jp-all)
- 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 (US S&P 500). https://qbuntu.ai/strategies/overnight-intraday-us-sp500

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