Price & Market BehaviorCore researchlive in productionNew

Overnight Intraday Decomp

Updated dailyData needs: lowlong onlyshort onlylong short

2019

#94 overnight_intraday_decomp — Lou-Polk-Skouras 2019 RFS overnight-return premium.

In plain terms

Stocks that quietly gain overnight, day after day, tend to keep doing it — that's where the after-hours news and informed off-exchange order flow lives. Stocks that lose overnight consistently keep losing.

How it works

Daily returns split cleanly into overnight (open/prev-close) and intraday (close/open) windows. Lou-Polk-Skouras 2019 RFS show overnight returns carry persistent firm-specific information (earnings drift, after-hours news, off-exchange flow signaling) while intraday returns mean-revert. Stocks with consistently positive cumulative overnight returns earn a premium even after controlling for size, B/M, and short-term reversal. Pure OHLC arithmetic, no new data.

Live results

3 times picked on its own · 51 times inside a blend (40 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 51 such blended picks (40 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

Reported return: 8-12% ann. quintile spread; ~4% OOS
Tested over: 1993-2017

Lou-Polk-Skouras 2019: 8-12% ann. high-vs-low cumulative-overnight quintile spread; ~4% post-publication OOS

Example tickers where this is likely to fire

NVDA TSLA AAPL

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

Short Term ReversalPrice & Market Behavior

Stocks that fell sharply over the last few days tend to bounce; stocks that ripped tend to fade. A 1-week mean-reversion bet.

Frog In Pan MomentumPrice & Market Behavior

A series of small same-signed daily moves (continuous info) creates stronger momentum drift than the same total return delivered as a few big jumps.

Gap PlayPrice & Market Behavior

Two trades: ride a gap UP through a consolidation (continuation), or buy the bounce after a heavy gap DOWN into an oversold tape.

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