spec. overnight-intraday-us-sp500-fact-best-sharpecite ledger
qbuntu.ai/cite/overnight-intraday-us-sp500-fact-best-sharpeCC-BY-4.0
Best grid Sharpe ratio is 1.54 (p=0.002).
sharpe_ratio1.54 sharpe_ratiosupports verdict:marginal
Context
period 2022-02-01–2026-06-01; cost=5bps
Source strategy
marginalequity· regime_dependent
Overnight vs Intraday Return (US S&P 500)
overnight-intraday-us-sp500
fact derives from run: r-overnight-intraday-us-sp500-0373
Cite this
qbuntu (2026). Best grid Sharpe ratio is 1.54 (p=0.002).. Strategy: Overnight vs Intraday Return (US S&P 500). https://qbuntu.ai/cite/overnight-intraday-us-sp500-fact-best-sharpe
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-30T01:20:50
fact_id: overnight-intraday-us-sp500-fact-best-sharpe (immutable)