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"1d", "name": "Overnight-intraday reversal", "paper_allocation": 0.1, "paper_spec_id": "2:5e847d209bee27dc68f725cb7ebfb48b9aea6fe163b026d2501ca4c1f9b6f5cd", "paper_version": "2", "qualification_benchmark": "SPY adjusted close", "round_trip_cost_bps": 4.0, "rules": ["Measure previous close to current open return.", "After a positive overnight gap, short from open to close.", "After a negative overnight gap, go long from open to close.", "Close every position at the same session close."], "strategy_id": "overnight_intraday_reversal", "strategy_spec_hash": "5e847d209bee27dc68f725cb7ebfb48b9aea6fe163b026d2501ca4c1f9b6f5cd", "symbol": "SPY"}, "strategy_version": "2:5e847d209bee27dc68f725cb7ebfb48b9aea6fe163b026d2501ca4c1f9b6f5cd", "updated_at": "2026-09-30T19:30:50.006543+00:00", "version_current": true}, "strategy": {"best_conditions": "Sessions where opening gaps reflect temporary imbalance rather than durable news.", "caveat": "The source evidence is cross-sectional across assets; this SPY sign test is explicitly a component proxy.", "data_requirement": "ohlcv", "evidence_label": "Liu et al. \u2014 Overnight-Intraday Reversal Everywhere", "evidence_url": "https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2730304", "exact_with_yahoo": true, "example": "SPY closes at 600 and opens next day at 603, a positive overnight move. The model shorts at 603 and covers at that day's close.", "execution_code_sha256": "747f4b6189083e9979ceb538ba2e88a8388bd2c02e526fa4e7281126943e13d4", "execution_runtime": {"packages": {"beautifulsoup4": "4.15.0", "certifi": "2026.7.22", "cffi": "2.1.1", "charset-normalizer": "3.5.1", "curl-cffi": "0.16.0", "exchange-calendars": "4.13.2", "idna": "3.18", "korean-lunar-calendar": "0.4.0", "lxml": "6.1.1", "multitasking": "0.0.13", "numpy": "2.5.1", "packaging": "26.3", "pandas": "2.3.3", "peewee": "4.3.0", "platformdirs": "4.11.3", "protobuf": "7.35.1", "pycparser": "3.0", "pyluach": "2.3.0", "python-dateutil": "2.9.0.post0", "pytz": "2026.3.post1", "requests": "2.34.2", "six": "1.17.0", "soupsieve": "2.9.2", "toolz": "1.1.0", "typing-extensions": "4.16.0", "tzdata": "2026.3", "urllib3": "2.7.0", "websockets": "17.0.1", "yfinance": "1.6.0"}, "python": "3.12.13", "system_timezone_data_sha256": ["c63188e9f5017bb86bf93bcc12613cf4f814f6864119333fae06881b5b603814", "d7f2206b3a45989fc9ad63d558922532fa7352280d5f87176bf1db79cb1d1fa9"]}, "gross_exposure": 1.0, "how_it_works": "The hypothesis is that overnight imbalances partially reverse once regular-session liquidity arrives. This component test therefore takes the opposite side at the open and exits at the close.", "id": "overnight_intraday_reversal", "interval": "1d", "main_risks": ["News gaps often continue", "Daily trading creates heavy costs", "Shorting occurs frequently", "Single-asset sign reversal is only a proxy for cross-sectional evidence"], "name": "Overnight-intraday reversal", "origin": "research", "paper_allocation": 0.1, "paper_spec_id": "2:5e847d209bee27dc68f725cb7ebfb48b9aea6fe163b026d2501ca4c1f9b6f5cd", "paper_spec_manifest": {"data_requirement": "ohlcv", "execution_code_sha256": "747f4b6189083e9979ceb538ba2e88a8388bd2c02e526fa4e7281126943e13d4", "execution_runtime": {"packages": {"beautifulsoup4": "4.15.0", "certifi": "2026.7.22", "cffi": "2.1.1", "charset-normalizer": "3.5.1", "curl-cffi": "0.16.0", "exchange-calendars": "4.13.2", "idna": "3.18", "korean-lunar-calendar": "0.4.0", "lxml": "6.1.1", "multitasking": "0.0.13", "numpy": "2.5.1", "packaging": "26.3", "pandas": "2.3.3", "peewee": "4.3.0", "platformdirs": "4.11.3", "protobuf": "7.35.1", "pycparser": "3.0", "pyluach": "2.3.0", "python-dateutil": "2.9.0.post0", "pytz": "2026.3.post1", "requests": "2.34.2", "six": "1.17.0", "soupsieve": "2.9.2", "toolz": "1.1.0", "typing-extensions": "4.16.0", "tzdata": "2026.3", "urllib3": "2.7.0", "websockets": "17.0.1", "yfinance": "1.6.0"}, "python": "3.12.13", "system_timezone_data_sha256": ["c63188e9f5017bb86bf93bcc12613cf4f814f6864119333fae06881b5b603814", "d7f2206b3a45989fc9ad63d558922532fa7352280d5f87176bf1db79cb1d1fa9"]}, "gross_exposure": 1.0, "interval": "1d", "name": "Overnight-intraday reversal", "paper_allocation": 0.1, "paper_spec_id": "2:5e847d209bee27dc68f725cb7ebfb48b9aea6fe163b026d2501ca4c1f9b6f5cd", "paper_version": "2", "qualification_benchmark": "SPY adjusted close", "round_trip_cost_bps": 4.0, "rules": ["Measure previous close to current open return.", "After a positive overnight gap, short from open to close.", "After a negative overnight gap, go long from open to close.", "Close every position at the same session close."], "strategy_id": "overnight_intraday_reversal", "strategy_spec_hash": "5e847d209bee27dc68f725cb7ebfb48b9aea6fe163b026d2501ca4c1f9b6f5cd", "symbol": "SPY"}, "paper_version": "2", "qualification": {"eligible_for_ai_label": false, "evidence_id": null, "gates": [], "policy": {"minimum_base_cost_bps": 4.0, "minimum_locked_calendar_days": 180, "minimum_locked_trades": 100, "minimum_stress_cost_bps": 8.0}, "status": "not_submitted", "strategy_id": "overnight_intraday_reversal"}, "qualification_benchmark": "SPY adjusted close", "rules": ["Measure previous close to current open return.", "After a positive overnight gap, short from open to close.", "After a negative overnight gap, go long from open to close.", "Close every position at the same session close."], "strategy_spec_hash": "5e847d209bee27dc68f725cb7ebfb48b9aea6fe163b026d2501ca4c1f9b6f5cd", "summary": "Trades the regular session opposite to the direction of the preceding overnight move.", "symbol": "SPY"}}