{"schema_version":"v1","slug":"overnight-intraday-jp-all","name":"Overnight vs Intraday Return (JP All Stocks)","name_i18n":{},"verdict":"rejected","asset_class":"equity","categories":["intraday","overnight","return-decomposition"],"hypothesis":"Lou, Polk, Skouras (2019): decompose returns into overnight and intraday components. Testing on the full Japanese stock universe.","rejection_reason":{"primary":"no_edge","secondary":[],"narrative":"Across 768 grid combinations, median Sharpe=-0.40, best=0.80. Primary failure mode: no_edge."},"target_universe":{"description":"Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks","symbols":[]},"performance_summary":{"sharpe_median":-0.3999,"max_drawdown_pct":-26.6,"win_rate":null,"alpha_annualized_pct":null,"p_value":0.36,"backtest_period":{"start":"2022-02-01","end":"2026-09-01"}},"grid_summary":{"sharpe":{"p25":-0.69,"p75":-0.17,"best":0.8,"worst":-2.11,"median":-0.4},"n_combinations":768},"methodology":{"notes":"{\"walk_forward_definition\": {\"type\": \"single_pass\", \"description\": \"Full period backtest without walk-forward split\", \"verdict_basis\": \"full_period\"}}","signal":null,"benchmark":null,"rebalance":null,"slippage_model":"open-on-open + variable bps fixed","position_sizing":"equal_weight","regime_definition":"N225 SMA20/SMA60 three-class","transaction_cost_bps":5},"provenance":{"data_source":"kabu STATION REST API + J-Quants daily bars","source_project":"qbuntu-analysis","computed_asof":"2026-09-26T05:57:21","git_sha_z":"1455e77","git_sha_genkidama":"17a7674","python_version":"3.12.10","numpy_version":"2.4.2","pandas_version":"3.0.0","tier":"shallow"},"runs":[{"run_id":"r-overnight-intraday-jp-all-0000","name":"signal_type=overnight, formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":5,"regime_gate":false,"signal_type":"overnight","holding_days":1,"formation_days":5},"performance":{"sharpe":-0.18,"max_drawdown_pct":-29.1,"alpha_annualized_pct":-2.4,"p_value":0.7,"regime_breakdown":{"UP":-0.396483,"DOWN":-2.573542,"FLAT":0.407278}},"executed_at":"2026-09-25T21:36:50","notes":null},{"run_id":"r-overnight-intraday-jp-all-0001","name":"signal_type=overnight, formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":5,"regime_gate":true,"signal_type":"overnight","holding_days":1,"formation_days":5},"performance":{"sharpe":-0.14,"max_drawdown_pct":-27.7,"alpha_annualized_pct":-1.9,"p_value":0.76,"regime_breakdown":{"UP":-0.282888,"DOWN":-2.573542,"FLAT":0.407278}},"executed_at":"2026-09-25T21:36:51","notes":null},{"run_id":"r-overnight-intraday-jp-all-0002","name":"signal_type=overnight, formation_days=5, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":5,"regime_gate":false,"signal_type":"overnight","holding_days":1,"formation_days":5},"performance":{"sharpe":-0.27,"max_drawdown_pct":-31.8,"alpha_annualized_pct":-3.6,"p_value":0.56,"regime_breakdown":{"UP":-0.493684,"DOWN":-2.750798,"FLAT":0.329747}},"executed_at":"2026-09-25T21:36:52","notes":null},{"run_id":"r-overnight-intraday-jp-all-0003","name":"signal_type=overnight, formation_days=5, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"n_stocks":5,"regime_gate":true,"signal_type":"overnight","holding_days":1,"formation_days":5},"performance":{"sharpe":-0.21,"max_drawdown_pct":-29.4,"alpha_annualized_pct":-2.8,"p_value":0.65,"regime_breakdown":{"UP":-0.329861,"DOWN":-2.750798,"FLAT":0.329747}},"executed_at":"2026-09-25T21:36:52","notes":null},{"run_id":"r-overnight-intraday-jp-all-0012","name":"signal_type=overnight, formation_days=5, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":50,"regime_gate":false,"signal_type":"overnight","holding_days":1,"formation_days":5},"performance":{"sharpe":-0.17,"max_drawdown_pct":-10,"alpha_annualized_pct":-0.5,"p_value":0.72,"regime_breakdown":{"UP":-0.088717,"DOWN":-0.625748,"FLAT":0.049311}},"executed_at":"2026-09-25T21:37:00","notes":null},{"run_id":"r-overnight-intraday-jp-all-0040","name":"signal_type=overnight, formation_days=5, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":20,"regime_gate":false,"signal_type":"overnight","holding_days":10,"formation_days":5},"performance":{"sharpe":0.33,"max_drawdown_pct":-15,"alpha_annualized_pct":4.9,"p_value":0.47,"regime_breakdown":{"UP":0.394744,"DOWN":-2.203329,"FLAT":0.836027}},"executed_at":"2026-09-25T21:37:25","notes":null},{"run_id":"r-overnight-intraday-jp-all-0048","name":"signal_type=overnight, formation_days=5, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":5,"regime_gate":false,"signal_type":"overnight","holding_days":20,"formation_days":5},"performance":{"sharpe":-0.54,"max_drawdown_pct":-71,"alpha_annualized_pct":-16.6,"p_value":0.24,"regime_breakdown":{"UP":-0.476521,"DOWN":-1.377366,"FLAT":-0.321241}},"executed_at":"2026-09-25T21:37:32","notes":null},{"run_id":"r-overnight-intraday-jp-all-0077","name":"signal_type=overnight, formation_days=10, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":50,"regime_gate":true,"signal_type":"overnight","holding_days":1,"formation_days":10},"performance":{"sharpe":-0.07,"max_drawdown_pct":-8.5,"alpha_annualized_pct":-0.3,"p_value":0.88,"regime_breakdown":{"UP":0.085151,"DOWN":-0.721308,"FLAT":0.069138}},"executed_at":"2026-09-25T21:37:57","notes":null},{"run_id":"r-overnight-intraday-jp-all-0113","name":"signal_type=overnight, formation_days=10, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":5,"regime_gate":true,"signal_type":"overnight","holding_days":20,"formation_days":10},"performance":{"sharpe":-0.85,"max_drawdown_pct":-77.1,"alpha_annualized_pct":-26.6,"p_value":0.07,"regime_breakdown":{"UP":-1.081752,"DOWN":-1.062274,"FLAT":-0.533938}},"executed_at":"2026-09-25T21:38:29","notes":null},{"run_id":"r-overnight-intraday-jp-all-0149","name":"signal_type=overnight, formation_days=20, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":10,"regime_gate":true,"signal_type":"overnight","holding_days":5,"formation_days":20},"performance":{"sharpe":-0.86,"max_drawdown_pct":-43.3,"alpha_annualized_pct":-11.5,"p_value":0.064,"regime_breakdown":{"UP":-0.781999,"DOWN":-3.102412,"FLAT":-0.232514}},"executed_at":"2026-09-25T21:39:01","notes":null},{"run_id":"r-overnight-intraday-jp-all-0185","name":"signal_type=overnight, formation_days=20, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":20,"regime_gate":true,"signal_type":"overnight","holding_days":20,"formation_days":20},"performance":{"sharpe":-0.48,"max_drawdown_pct":-36.3,"alpha_annualized_pct":-8.4,"p_value":0.3,"regime_breakdown":{"UP":-0.848204,"DOWN":-1.595643,"FLAT":0.257764}},"executed_at":"2026-09-25T21:39:33","notes":null},{"run_id":"r-overnight-intraday-jp-all-0192","name":"signal_type=overnight, formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":5,"regime_gate":false,"signal_type":"overnight","holding_days":1,"formation_days":60},"performance":{"sharpe":-0.66,"max_drawdown_pct":-27.3,"alpha_annualized_pct":-5.7,"p_value":0.16,"regime_breakdown":{"UP":0.209676,"DOWN":-0.287241,"FLAT":-1.680476}},"executed_at":"2026-09-25T21:39:39","notes":null},{"run_id":"r-overnight-intraday-jp-all-0222","name":"signal_type=overnight, formation_days=60, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":50,"regime_gate":false,"signal_type":"overnight","holding_days":5,"formation_days":60},"performance":{"sharpe":-0.54,"max_drawdown_pct":-15.1,"alpha_annualized_pct":-3.6,"p_value":0.25,"regime_breakdown":{"UP":-0.765783,"DOWN":-1.888702,"FLAT":-0.003825}},"executed_at":"2026-09-25T21:40:05","notes":null},{"run_id":"r-overnight-intraday-jp-all-0256","name":"signal_type=intraday, formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":5,"regime_gate":false,"signal_type":"intraday","holding_days":1,"formation_days":5},"performance":{"sharpe":-0.98,"max_drawdown_pct":-51.2,"alpha_annualized_pct":-13.4,"p_value":0.035,"regime_breakdown":{"UP":-0.324251,"DOWN":-1.074439,"FLAT":-1.386571}},"executed_at":"2026-09-25T21:40:35","notes":null},{"run_id":"r-overnight-intraday-jp-all-0259","name":"signal_type=intraday, formation_days=5, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"n_stocks":5,"regime_gate":true,"signal_type":"intraday","holding_days":1,"formation_days":5},"performance":{"sharpe":-1.08,"max_drawdown_pct":-54.8,"alpha_annualized_pct":-15.1,"p_value":0.021,"regime_breakdown":{"UP":-0.502003,"DOWN":-1.170076,"FLAT":-1.46218}},"executed_at":"2026-09-25T21:40:38","notes":null},{"run_id":"r-overnight-intraday-jp-all-0295","name":"signal_type=intraday, formation_days=5, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"n_stocks":10,"regime_gate":true,"signal_type":"intraday","holding_days":10,"formation_days":5},"performance":{"sharpe":-1.04,"max_drawdown_pct":-71.1,"alpha_annualized_pct":-22.3,"p_value":0.026,"regime_breakdown":{"UP":-0.565628,"DOWN":-0.480455,"FLAT":-1.720587}},"executed_at":"2026-09-25T21:41:09","notes":null},{"run_id":"r-overnight-intraday-jp-all-0331","name":"signal_type=intraday, formation_days=10, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"n_stocks":20,"regime_gate":true,"signal_type":"intraday","holding_days":1,"formation_days":10},"performance":{"sharpe":-0.59,"max_drawdown_pct":-23.9,"alpha_annualized_pct":-4.3,"p_value":0.2,"regime_breakdown":{"UP":0.085562,"DOWN":-0.484568,"FLAT":-1.392375}},"executed_at":"2026-09-25T21:41:41","notes":null},{"run_id":"r-overnight-intraday-jp-all-0367","name":"signal_type=intraday, formation_days=10, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"n_stocks":50,"regime_gate":true,"signal_type":"intraday","holding_days":10,"formation_days":10},"performance":{"sharpe":-0.49,"max_drawdown_pct":-24.1,"alpha_annualized_pct":-3.8,"p_value":0.29,"regime_breakdown":{"UP":-0.187559,"DOWN":0.383578,"FLAT":-1.414984}},"executed_at":"2026-09-25T21:42:13","notes":null},{"run_id":"r-overnight-intraday-jp-all-0371","name":"signal_type=intraday, formation_days=10, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"n_stocks":5,"regime_gate":true,"signal_type":"intraday","holding_days":20,"formation_days":10},"performance":{"sharpe":-2.11,"max_drawdown_pct":-92.9,"alpha_annualized_pct":-52.7,"p_value":0.000027,"regime_breakdown":{"UP":-2.485398,"DOWN":-2.040742,"FLAT":-1.821735}},"executed_at":"2026-09-25T21:42:16","notes":null},{"run_id":"r-overnight-intraday-jp-all-0404","name":"signal_type=intraday, formation_days=20, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":10,"regime_gate":false,"signal_type":"intraday","holding_days":5,"formation_days":20},"performance":{"sharpe":-1.57,"max_drawdown_pct":-62.1,"alpha_annualized_pct":-19.3,"p_value":0.0011,"regime_breakdown":{"UP":-1.720466,"DOWN":-3.374913,"FLAT":-1.064343}},"executed_at":"2026-09-25T21:42:45","notes":null},{"run_id":"r-overnight-intraday-jp-all-0440","name":"signal_type=intraday, formation_days=20, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":20,"regime_gate":false,"signal_type":"intraday","holding_days":20,"formation_days":20},"performance":{"sharpe":-0.63,"max_drawdown_pct":-55.8,"alpha_annualized_pct":-10.1,"p_value":0.18,"regime_breakdown":{"UP":-0.32877,"DOWN":-1.515411,"FLAT":-0.555308}},"executed_at":"2026-09-25T21:43:17","notes":null},{"run_id":"r-overnight-intraday-jp-all-0476","name":"signal_type=intraday, formation_days=60, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":50,"regime_gate":false,"signal_type":"intraday","holding_days":5,"formation_days":60},"performance":{"sharpe":-0.35,"max_drawdown_pct":-16.5,"alpha_annualized_pct":-2.4,"p_value":0.45,"regime_breakdown":{"UP":-0.85664,"DOWN":-0.745948,"FLAT":0.764986}},"executed_at":"2026-09-25T21:43:51","notes":null},{"run_id":"r-overnight-intraday-jp-all-0512","name":"signal_type=overnight_minus_intraday, formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":5,"regime_gate":false,"signal_type":"overnight_minus_intraday","holding_days":1,"formation_days":5},"performance":{"sharpe":0.8,"max_drawdown_pct":-12.4,"alpha_annualized_pct":9.6,"p_value":0.087,"regime_breakdown":{"UP":0.796836,"DOWN":0.184238,"FLAT":0.99553}},"executed_at":"2026-09-25T21:44:24","notes":null},{"run_id":"r-overnight-intraday-jp-all-0513","name":"signal_type=overnight_minus_intraday, formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":5,"regime_gate":true,"signal_type":"overnight_minus_intraday","holding_days":1,"formation_days":5},"performance":{"sharpe":0.49,"max_drawdown_pct":-11.1,"alpha_annualized_pct":6,"p_value":0.29,"regime_breakdown":{"UP":-0.11364,"DOWN":0.184238,"FLAT":0.99553}},"executed_at":"2026-09-25T21:44:24","notes":null},{"run_id":"r-overnight-intraday-jp-all-0549","name":"signal_type=overnight_minus_intraday, formation_days=5, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":10,"regime_gate":true,"signal_type":"overnight_minus_intraday","holding_days":10,"formation_days":5},"performance":{"sharpe":0.07,"max_drawdown_pct":-25,"alpha_annualized_pct":1.2,"p_value":0.88,"regime_breakdown":{"UP":-0.686656,"DOWN":-0.692342,"FLAT":1.0733}},"executed_at":"2026-09-25T21:44:57","notes":null},{"run_id":"r-overnight-intraday-jp-all-0585","name":"signal_type=overnight_minus_intraday, formation_days=10, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":20,"regime_gate":true,"signal_type":"overnight_minus_intraday","holding_days":1,"formation_days":10},"performance":{"sharpe":-0.12,"max_drawdown_pct":-11.7,"alpha_annualized_pct":-0.7,"p_value":0.8,"regime_breakdown":{"UP":-0.834669,"DOWN":-0.295636,"FLAT":0.543196}},"executed_at":"2026-09-25T21:45:30","notes":null},{"run_id":"r-overnight-intraday-jp-all-0621","name":"signal_type=overnight_minus_intraday, formation_days=10, holding_days=10, n_stocks=50, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":50,"regime_gate":true,"signal_type":"overnight_minus_intraday","holding_days":10,"formation_days":10},"performance":{"sharpe":-0.4,"max_drawdown_pct":-18,"alpha_annualized_pct":-3.4,"p_value":0.38,"regime_breakdown":{"UP":-0.997813,"DOWN":-0.854563,"FLAT":0.371306}},"executed_at":"2026-09-25T21:46:02","notes":null},{"run_id":"r-overnight-intraday-jp-all-0657","name":"signal_type=overnight_minus_intraday, formation_days=20, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":5,"regime_gate":true,"signal_type":"overnight_minus_intraday","holding_days":5,"formation_days":20},"performance":{"sharpe":-0.64,"max_drawdown_pct":-42.8,"alpha_annualized_pct":-9.4,"p_value":0.17,"regime_breakdown":{"UP":-0.791116,"DOWN":-0.098727,"FLAT":-0.713004}},"executed_at":"2026-09-25T21:46:34","notes":null},{"run_id":"r-overnight-intraday-jp-all-0693","name":"signal_type=overnight_minus_intraday, formation_days=20, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":10,"regime_gate":true,"signal_type":"overnight_minus_intraday","holding_days":20,"formation_days":20},"performance":{"sharpe":-0.25,"max_drawdown_pct":-49.5,"alpha_annualized_pct":-5.6,"p_value":0.58,"regime_breakdown":{"UP":-0.864741,"DOWN":0.439558,"FLAT":0.00979}},"executed_at":"2026-09-25T21:47:06","notes":null},{"run_id":"r-overnight-intraday-jp-all-0729","name":"signal_type=overnight_minus_intraday, formation_days=60, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":20,"regime_gate":true,"signal_type":"overnight_minus_intraday","holding_days":5,"formation_days":60},"performance":{"sharpe":-0.44,"max_drawdown_pct":-15.8,"alpha_annualized_pct":-3.5,"p_value":0.35,"regime_breakdown":{"UP":-0.453542,"DOWN":-0.992553,"FLAT":-0.220322}},"executed_at":"2026-09-25T21:47:38","notes":null}],"facts":[{"fact_id":"overnight-intraday-jp-all-fact-best-sharpe","strategy_slug":"overnight-intraday-jp-all","claim":"Best grid Sharpe ratio is 0.80 (p=0.087).","value":0.8,"value_text":null,"unit":"sharpe_ratio","context":"period 2022-02-01–2026-09-01; cost=5bps","supports_verdict":"rejected","source_run_id":"r-overnight-intraday-jp-all-0512","search_tsv":"'-01':12,15 '-02':11 '-09':14 '0.087':8 '0.80':6 '2022':10 '2026':13 '5bps':17 'best':1 'cost':16 'grid':2 'p':7 'period':9 'ratio':4 'sharp':3","cite_url":"https://qbuntu.ai/cite/overnight-intraday-jp-all-fact-best-sharpe"},{"fact_id":"overnight-intraday-jp-all-fact-median-sharpe","strategy_slug":"overnight-intraday-jp-all","claim":"Median Sharpe across 768 grid runs is -0.40.","value":-0.4,"value_text":null,"unit":"sharpe_ratio","context":"Full grid of 768 parameter combinations.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-0.40':8 '768':4,12 'across':3 'combin':14 'full':9 'grid':5,10 'median':1 'paramet':13 'run':6 'sharp':2","cite_url":"https://qbuntu.ai/cite/overnight-intraday-jp-all-fact-median-sharpe"},{"fact_id":"overnight-intraday-jp-all-fact-regime-down","strategy_slug":"overnight-intraday-jp-all","claim":"Median Sharpe in DOWN regime is -1.00 across 768 runs.","value":-1,"value_text":null,"unit":"sharpe_ratio","context":"Regime=DOWN, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-1.00':7 '768':9 'across':8 'classif':15 'median':1 'n225':13 'regim':5,11 'run':10 'sharp':2 'sma20/sma60':14","cite_url":"https://qbuntu.ai/cite/overnight-intraday-jp-all-fact-regime-down"},{"fact_id":"overnight-intraday-jp-all-fact-regime-flat","strategy_slug":"overnight-intraday-jp-all","claim":"Median Sharpe in FLAT regime is -0.16 across 768 runs.","value":-0.16,"value_text":null,"unit":"sharpe_ratio","context":"Regime=FLAT, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-0.16':7 '768':9 'across':8 'classif':15 'flat':4,12 'median':1 'n225':13 'regim':5,11 'run':10 'sharp':2 'sma20/sma60':14","cite_url":"https://qbuntu.ai/cite/overnight-intraday-jp-all-fact-regime-flat"},{"fact_id":"overnight-intraday-jp-all-fact-regime-up","strategy_slug":"overnight-intraday-jp-all","claim":"Median Sharpe in UP regime is -0.46 across 768 runs.","value":-0.46,"value_text":null,"unit":"sharpe_ratio","context":"Regime=UP, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-0.46':7 '768':9 'across':8 'classif':15 'median':1 'n225':13 'regim':5,11 'run':10 'sharp':2 'sma20/sma60':14","cite_url":"https://qbuntu.ai/cite/overnight-intraday-jp-all-fact-regime-up"}],"related_strategies":[{"related_slug":"overnight-intraday-jp-growth","relation":"same_strategy"}],"tags":["overnight","intraday","return-decomposition","all-market","grid-search"],"_links":{"self":"https://qbuntu.ai/v1/strategies/overnight-intraday-jp-all","html":"https://qbuntu.ai/strategies/overnight-intraday-jp-all","markdown":"https://qbuntu.ai/ai/strategies/overnight-intraday-jp-all.md"}}