Price & Market BehaviorCore researchInactiveNew
Overnight Intraday Decomp
Updated dailyData needs: lowlong onlyshort onlylong short
JFE
2019
J. of Financial Economics
Lou, Polk and Skouras (2019), A tug of war: Overnight versus intraday expected returns, Journal of Financial Economics 134(1), 192-213
Read the paper →
In plain terms
This older implementation is blocked; its replacement handles cash distributions and ordinary executable trading accounting.
How it works
The guarded own-history overnight z/trend heuristic is not the cited peer-portfolio study. Its raw opening gap omits cash distributions and its trade series lacks canonical execution.
Live results
0 times picked on its own · 17 times inside a blend (12 beat the stock) · updated 2026-07-06This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 17 such blended picks (12 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)
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
See the source research for the original effect size; a modern replication on new data may be weaker.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Explore Overnight Intraday Decomp on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.