qbuntuqbuntu
marginalregime_dependent· equity· intraday· overnight· return-decomposition

Overnight vs Intraday Return (US S&P 500)

slug: overnight-intraday-us-sp500
performance summary
Sharpe (median)
+0.17
Max DD
-13.8%
Win rate
—
Alpha (ann.)
—
p-value
0.45
backtest period: 2022-02-01 → 2026-06-01
Sharpe across 768 grid runs:median 0.17best 1.54 (not representative)worst -1.55p25–p75 -0.20–0.50

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.

Facts (5)

Best grid Sharpe ratio is 1.54 (p=0.002).
period 2022-02-01–2026-06-01; cost=5bps
sharpe_ratio1.54
cite ↗ /cite/overnight-intraday-us-sp500-fact-best-sharpevia r-overnight-intraday-us-sp500-0373
Median Sharpe across 768 grid runs is 0.17.
Full grid of 768 parameter combinations.
sharpe_ratio0.17
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 -0.50 across 768 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.50
cite ↗ /cite/overnight-intraday-us-sp500-fact-regime-flat
Median Sharpe in UP regime is 0.84 across 768 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio0.84
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
+0.01+0.25-0.25-0.12
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
-0.04+0.12-0.25-0.12
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
-0.24-0.02-0.51-0.33
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
-0.22+0.01-0.51-0.33
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
-0.49+0.17-1.29-0.49
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
+0.23+1.23-1.60+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
+0.12+0.59-1.27+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
-0.20+0.43-0.78-0.22
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
+0.52+1.00-0.13+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
+0.31+1.24-0.65-0.98
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
+0.15+1.26-0.99-0.89
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
+0.06+1.26-1.36-0.32
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
+0.46+2.12-0.75-0.73
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
+0.16+0.34+0.60-1.41
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
-0.40-0.69+0.27-0.79
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
-0.19+0.83-0.76-1.07
signal_type=intraday, formation_days=10, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False
r-overnight-intraday-us-sp500-0340
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.64+0.04+0.89+2.71
signal_type=intraday, formation_days=10, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True
r-overnight-intraday-us-sp500-0373
cost_bps: 5
n_stocks: 10
regime_gate: true
+1.54+1.72+1.50+1.01
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
+0.84+0.69+0.75+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
+0.36+0.72-0.33+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
+1.02+1.35+0.47+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
+0.46+0.89+0.17-0.01
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
-0.14+0.05-0.74+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
-0.73-0.06-1.91-0.42
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
-0.14+0.29-1.57+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
+0.06+1.41-0.72-1.71
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
-0.38+0.07-0.69-1.01
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
-0.35+1.11-1.23-0.81
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
-0.99-0.91-0.71-1.83
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
-1.55-1.52-1.09-2.25

Target universe

S&P 500 constituents, ~503 stocks

Related strategies

same_strategy:overnight-intraday-jp-allsame_strategy:overnight-intraday-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-30T01:20:50
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

Related strategies