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marginalregime_dependent· equity· intraday· overnight· return-decomposition

Overnight vs Intraday Return (US S&P 500)

slug: overnight-intraday-us-sp500

Overnight vs Intraday Return (US S&P 500) backtest. Median Sharpe across 768 parameter sets is +0.08. p-value is 0.50. Max DD is -14.6%. Period: 2022-02-01 to 2026-09-01. Best Sharpe +1.34 is not the representative figure.

Verdict: marginal. Some parameter set has a p-value under 0.10, but the median itself misses promising (Sharpe > 0.5 and p-value < 0.05). Results split across up, flat, and down markets, so the median is not stable.

Performance summary

Sharpe (median)
+0.08
Max DD
-14.6%
Win rate
—
Alpha (ann.)
—
p-value
0.50
backtest period: 2022-02-01 → 2026-09-01
Sharpe across 768 grid runs:median 0.08best 1.34 (not representative)worst -1.65p25–p75 -0.22–0.36

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=0.08, best=1.34. Primary failure mode: regime_dependent.

Facts (5)

Best grid Sharpe ratio is 1.34 (p=0.005).
period 2022-02-01–2026-09-01; cost=5bps
sharpe_ratio1.34
cite ↗ /cite/overnight-intraday-us-sp500-fact-best-sharpevia r-overnight-intraday-us-sp500-0337
Median Sharpe across 768 grid runs is 0.08.
Full grid of 768 parameter combinations.
sharpe_ratio0.08
cite ↗ /cite/overnight-intraday-us-sp500-fact-median-sharpe
Median Sharpe in DOWN regime is -0.17 across 768 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-0.17
cite ↗ /cite/overnight-intraday-us-sp500-fact-regime-down
Median Sharpe in FLAT regime is -0.61 across 768 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.61
cite ↗ /cite/overnight-intraday-us-sp500-fact-regime-flat
Median Sharpe in UP regime is 0.74 across 768 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio0.74
cite ↗ /cite/overnight-intraday-us-sp500-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
signal_type=overnight, formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-overnight-intraday-us-sp500-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.03+0.25-0.32-0.12
signal_type=overnight, formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-overnight-intraday-us-sp500-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.07+0.12-0.32-0.12
signal_type=overnight, formation_days=5, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-overnight-intraday-us-sp500-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.28-0.02-0.58-0.33
signal_type=overnight, formation_days=5, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-overnight-intraday-us-sp500-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.25+0.01-0.58-0.33
signal_type=overnight, formation_days=5, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-overnight-intraday-us-sp500-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.51+0.17-1.27-0.49
signal_type=overnight, formation_days=5, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=True
r-overnight-intraday-us-sp500-0041
cost_bps: 5
n_stocks: 20
regime_gate: true
+0.17+0.98-1.27+0.07
signal_type=overnight, formation_days=5, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False
r-overnight-intraday-us-sp500-0048
cost_bps: 5
n_stocks: 5
regime_gate: false
0.00+0.57-1.45+0.44
signal_type=overnight, formation_days=10, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=True
r-overnight-intraday-us-sp500-0079
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.26+0.43-0.86-0.22
signal_type=overnight, formation_days=10, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False
r-overnight-intraday-us-sp500-0116
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.32+0.82-0.38+0.61
signal_type=overnight, formation_days=20, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=True
r-overnight-intraday-us-sp500-0153
cost_bps: 5
n_stocks: 20
regime_gate: true
+0.21+1.24-0.75-0.98
signal_type=overnight, formation_days=20, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False
r-overnight-intraday-us-sp500-0190
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.04+1.25-1.43-0.89
signal_type=overnight, formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-overnight-intraday-us-sp500-0192
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.01+1.26-1.41-0.32
signal_type=overnight, formation_days=60, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=False
r-overnight-intraday-us-sp500-0228
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.20+2.04-1.03-0.73
signal_type=intraday, formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-overnight-intraday-us-sp500-0256
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.26+0.34+0.83-1.41
signal_type=intraday, formation_days=5, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False
r-overnight-intraday-us-sp500-0266
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.36-0.69+0.33-0.79
signal_type=intraday, formation_days=5, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=True
r-overnight-intraday-us-sp500-0303
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.31+0.48-0.79-1.07
signal_type=intraday, formation_days=10, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True
r-overnight-intraday-us-sp500-0337
cost_bps: 5
n_stocks: 5
regime_gate: true
+1.34+1.03+1.14+2.56
signal_type=intraday, formation_days=10, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=True
r-overnight-intraday-us-sp500-0341
cost_bps: 5
n_stocks: 10
regime_gate: true
+1.01+0.96+0.35+2.71
signal_type=intraday, formation_days=10, holding_days=20, n_stocks=20, cost_bps=10, regime_gate=False
r-overnight-intraday-us-sp500-0378
cost_bps: 10
n_stocks: 20
regime_gate: false
+0.61+0.53+0.34+1.44
signal_type=intraday, formation_days=20, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=True
r-overnight-intraday-us-sp500-0415
cost_bps: 10
n_stocks: 50
regime_gate: true
+0.24+0.72-0.51+0.93
signal_type=intraday, formation_days=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False
r-overnight-intraday-us-sp500-0452
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.95+1.35+0.38+1.36
signal_type=intraday, formation_days=60, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=True
r-overnight-intraday-us-sp500-0489
cost_bps: 5
n_stocks: 20
regime_gate: true
+0.19+0.47-0.06-0.01
signal_type=overnight_minus_intraday, formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-overnight-intraday-us-sp500-0512
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.21+0.05-0.88+0.75
signal_type=overnight_minus_intraday, formation_days=5, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=True
r-overnight-intraday-us-sp500-0527
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.83-0.06-2.08-0.42
signal_type=overnight_minus_intraday, formation_days=5, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False
r-overnight-intraday-us-sp500-0564
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.10+0.31-1.32+1.13
signal_type=overnight_minus_intraday, formation_days=10, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=True
r-overnight-intraday-us-sp500-0601
cost_bps: 5
n_stocks: 20
regime_gate: true
+0.22+1.41-0.07-1.71
signal_type=overnight_minus_intraday, formation_days=10, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False
r-overnight-intraday-us-sp500-0638
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.22+0.23-0.40-1.01
signal_type=overnight_minus_intraday, formation_days=20, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=True
r-overnight-intraday-us-sp500-0675
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.38+1.02-1.19-0.81
signal_type=overnight_minus_intraday, formation_days=60, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=False
r-overnight-intraday-us-sp500-0712
cost_bps: 5
n_stocks: 20
regime_gate: false
-1.07-0.91-0.92-1.83
signal_type=overnight_minus_intraday, formation_days=60, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False
r-overnight-intraday-us-sp500-0718
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.65-1.52-1.45-2.25

Target universe

S&P 500 constituents, ~503 stocks

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same_strategy:overnight-intraday-jp-allsame_strategy:overnight-intraday-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:18
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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