marginalregime_dependent· equity· intraday · overnight · return-decomposition

オーバーナイトと日中リターン（米国S&P500）のバックテスト

Overnight vs Intraday Return (US S&P 500)

slug: overnight-intraday-us-sp500

米国S&P500（約503銘柄）でオーバーナイトと日中リターンをバックテストした。768通りの中央値 Sharpe は +0.08。p-value は 0.50。Max DD は -14.6%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +1.34 は代表値ではない。

判定は marginal。どこかのパラメータでは p-value が 0.10 を下回るが、中央値自体は promising の基準（Sharpe > 0.5 かつ p-value < 0.05）に届いていない。上昇・横ばい・下落で結果が割れ、中央値としては安定しない。

成績の中央値

Sharpe（中央値）

+0.08

Max DD

-14.6%

勝率

—

Alpha（年率）

—

p-value

0.50

期間: 2022-02-01 → 2026-09-01

768通りの Sharpe:中央値 0.08最良 1.34 （代表値ではない）最悪 -1.65p25–p75 -0.22–0.36

仮説

原文は英語。

Lou, Polk, Skouras (2019): decompose returns into overnight and intraday components. Applied to S&P 500 constituents.

採用しなかった理由

Across 768 grid combinations, median Sharpe=0.08, best=1.34. Primary failure mode: regime_dependent.

検証ファクト (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

検証ラン (30)

run	params	sharpe	UP	FLAT	DOWN
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

対象ユニバース

S&P 500 constituents, ~503 stocks