spec. overnight-intraday-us-sp500-fact-regime-downcite ledger
qbuntu.ai/cite/overnight-intraday-us-sp500-fact-regime-downCC-BY-4.0
Median Sharpe in DOWN regime is -0.17 across 768 runs.
sharpe_ratio-0.17 sharpe_ratiosupports verdict:marginal
Context
Regime=DOWN, N225 SMA20/SMA60 classification.
Source strategy
marginalequity· regime_dependent
Overnight vs Intraday Return (US S&P 500)
overnight-intraday-us-sp500
Cite this
qbuntu (2026). Median Sharpe in DOWN regime is -0.17 across 768 runs.. Strategy: Overnight vs Intraday Return (US S&P 500). https://qbuntu.ai/cite/overnight-intraday-us-sp500-fact-regime-down
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-30T01:20:50
fact_id: overnight-intraday-us-sp500-fact-regime-down (immutable)