overnight intraday decomp
What it checks
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.
Mechanism
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.
Signal rule
Cumulative 63d overnight-return z-score over own 252d history; long top quartile + 60d uptrend, short bottom quartile + 60d downtrend.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Paper alpha
- 8-12% ann. quintile spread; ~4% OOS
- Paper window
- 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
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
short term reversalMean-ReversionStocks that fell sharply over the last 3-10 days tend to bounce in the following 3 days. We z-score recent N-day returns against a 60-day baseline; a z ≤ -1.5 to -2.5 triggers a 3-bar long entry. This is the textbook Jegadeesh (1990) short-horizon reversal — the inverse of medium-term momentum and a proxy for liquidity-provision premiums.
frog in pan momentumMomentumDa, Gurun & Warachka (2014) *Review of Financial Studies*, "Frog in the Pan: Continuous Information and Momentum."
gap playMean-ReversionTwo well-documented overnight-gap edges. GAP-AND-GO (continuation): a large overnight gap UP on confirming volume extends intraday and over the next few sessions — strongest when the gap follows a 20-day-high consolidation breakout. GAP FADE (mean reversion): a large gap DOWN on heavy volume into an oversold tape (close < 20d MA, low RSI) tends to fill within 3-5 sessions; we long the bounce, not short the gap-down. Pure-price family, only needs OHLC.
Explore overnight intraday decomp on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.