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rejectedno_edge· equity· intraday· overnight· return-decomposition

Overnight vs Intraday Return (JP All Stocks)

slug: overnight-intraday-jp-all
performance summary
Sharpe (median)
-0.11
Max DD
-20.0%
Win rate
—
Alpha (ann.)
—
p-value
0.56
backtest period: 2022-02-01 → 2026-02-02
Sharpe across 384 grid runs:median -0.11best 0.91 (not representative)worst -1.88p25–p75 -0.42–0.16

Hypothesis

Lou, Polk, Skouras (2019): decompose returns into overnight and intraday components. Testing on the full Japanese stock universe.

Why it didn't work

Across 384 grid combinations, median Sharpe=-0.11, best=0.91. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 0.91 (p=0.067).
period 2022-02-01–2026-02-02; cost=5bps
sharpe_ratio0.91
cite ↗ /cite/overnight-intraday-jp-all-fact-best-sharpevia r-overnight-intraday-jp-all-0320
Median Sharpe across 384 grid runs is -0.11.
Full grid of 384 parameter combinations.
sharpe_ratio-0.11
cite ↗ /cite/overnight-intraday-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is 0.09 across 384 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio0.09
cite ↗ /cite/overnight-intraday-jp-all-fact-regime-down
Median Sharpe in FLAT regime is -0.30 across 384 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.30
cite ↗ /cite/overnight-intraday-jp-all-fact-regime-flat
Median Sharpe in UP regime is 0.42 across 384 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio0.42
cite ↗ /cite/overnight-intraday-jp-all-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-jp-all-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.25-0.03-0.41+1.68
signal_type=overnight, formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-overnight-intraday-jp-all-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.17+0.38-0.41+1.68
signal_type=overnight, formation_days=5, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-overnight-intraday-jp-all-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.45-0.19-0.62+1.25
signal_type=overnight, formation_days=5, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-overnight-intraday-jp-all-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.36+0.28-0.62+1.25
signal_type=overnight, formation_days=5, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False
r-overnight-intraday-jp-all-0004
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.70-0.19-0.93+0.59
signal_type=overnight, formation_days=5, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False
r-overnight-intraday-jp-all-0038
cost_bps: 10
n_stocks: 10
regime_gate: false
-1.11-1.31-1.28+1.04
signal_type=overnight, formation_days=5, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False
r-overnight-intraday-jp-all-0048
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.46-0.19-0.63+0.36
signal_type=overnight, formation_days=10, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True
r-overnight-intraday-jp-all-0081
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.47+1.29+0.17-1.69
signal_type=overnight, formation_days=10, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True
r-overnight-intraday-jp-all-0115
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.23+0.69-0.50-1.06
signal_type=overnight, formation_days=20, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=True
r-overnight-intraday-jp-all-0149
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.26+1.26-0.01-2.24
signal_type=overnight, formation_days=20, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=True
r-overnight-intraday-jp-all-0183
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.39-0.23-0.36-0.93
signal_type=overnight, formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-overnight-intraday-jp-all-0192
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.83-0.05-1.08-0.48
signal_type=overnight, formation_days=60, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False
r-overnight-intraday-jp-all-0226
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.47-0.24-0.92+2.42
signal_type=intraday, formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-overnight-intraday-jp-all-0256
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.07-1.06-0.07+5.51
signal_type=intraday, formation_days=5, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-overnight-intraday-jp-all-0261
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.11+0.29-0.06+1.47
signal_type=intraday, formation_days=5, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True
r-overnight-intraday-jp-all-0295
cost_bps: 10
n_stocks: 10
regime_gate: true
+0.78+1.83+0.63-0.63
signal_type=intraday, formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-overnight-intraday-jp-all-0320
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.91+0.72+0.74+12.63
signal_type=intraday, formation_days=10, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False
r-overnight-intraday-jp-all-0338
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.43+0.17+0.37+6.29
signal_type=intraday, formation_days=10, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False
r-overnight-intraday-jp-all-0372
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.13+0.86-0.50+1.88
signal_type=intraday, formation_days=20, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=False
r-overnight-intraday-jp-all-0406
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.15-1.00+0.12+1.86
signal_type=intraday, formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-overnight-intraday-jp-all-0448
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.27+0.02+0.25+2.29
signal_type=intraday, formation_days=60, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False
r-overnight-intraday-jp-all-0482
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.21-0.37-0.28+2.89
signal_type=overnight_minus_intraday, formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-overnight-intraday-jp-all-0512
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.06-1.09-0.83-3.99
signal_type=overnight_minus_intraday, formation_days=5, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-overnight-intraday-jp-all-0517
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.69+0.38-0.88-3.20
signal_type=overnight_minus_intraday, formation_days=5, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True
r-overnight-intraday-jp-all-0551
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.46+0.93-0.92+0.30
signal_type=overnight_minus_intraday, formation_days=10, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True
r-overnight-intraday-jp-all-0593
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.18+1.52-0.25-3.35
signal_type=overnight_minus_intraday, formation_days=10, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True
r-overnight-intraday-jp-all-0627
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.11-0.27+0.45-2.89
signal_type=overnight_minus_intraday, formation_days=20, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=True
r-overnight-intraday-jp-all-0661
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.24+1.26+0.07-8.76
signal_type=overnight_minus_intraday, formation_days=20, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=True
r-overnight-intraday-jp-all-0695
cost_bps: 10
n_stocks: 10
regime_gate: true
0.00-0.29+0.09+0.14
signal_type=overnight_minus_intraday, formation_days=60, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-overnight-intraday-jp-all-0706
cost_bps: 10
n_stocks: 5
regime_gate: false
-1.88-1.14-2.28-0.97

Target universe

Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks

Related strategies

same_strategy:overnight-intraday-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-29T01:09:12
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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