Strategy #0000000101 · Calendar effects and return decomposition
Overnight versus intraday returns
Enter observed return legs and separate next-period assumptions; choose overnight, intraday, both or a gap-fade scenario.
Close-to-open overnight returns and open-to-close intraday returns can have different risk premia, information response and trading costs. Research compares these return legs and holding windows, but markets, samples and execution times matter. This tool keeps supplied historical decomposition separate from the next-period scenario.
No tick or historical market data is loaded; overnight gaps, financing, taxes and actual slippage are not estimated.
Three ways in
Understand the story. Then inspect the risk.
Start with a familiar situation, check the payoff, then test how the numbers change.
The idea · in two minutes
After decomposing overnight and intraday returns, what do alternative holding windows imply?
Close-to-open overnight returns and open-to-close intraday returns can have different risk premia, information response and trading costs. Research compares these return legs and holding windows, but markets, samples and execution times matter. This tool keeps supplied historical decomposition separate from the next-period scenario.
Enter observed return legs and separate next-period assumptions; choose overnight, intraday, both or a gap-fade scenario.
No tick or historical market data is loaded; overnight gaps, financing, taxes and actual slippage are not estimated.
- Input assumptionsEnter observed return legs and separate next-period assumptions; choose overnight, intraday, both or a gap-fade scenario.
- Model outputNo tick or historical market data is loaded; overnight gaps, financing, taxes and actual slippage are not estimated.
Illustrative research examples only. They are not live signals or a recommendation.
The mechanics · payoff and exposure
R_{close\to close}=R_{overnight}+R_{intraday}
Observed overnight/intraday returns are shown only as a decomposition; the scenario uses separately entered next-period returns.
Greeks: the directional intuition
- 訊號
- Measures sensitivity to implied volatility.
- 樣本
- Measures sensitivity to implied volatility.
- 執行
- Measures sensitivity to implied volatility.
R_{close\to close}=R_{overnight}+R_{intraday}
Practical context · published observations
Overnight versus intraday returns: read the record with its caveats.
The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.
No tick or historical market data is loaded; overnight gaps, financing, taxes and actual slippage are not estimated. Source ↗ · Methodology ↗
Change assumptions and inspect the scenario
Inputs illustrate the strategy mechanics; they are not live quotes, forecasts or investment advice.
Variants · same family, different risk levers
Data quality, sample selection and execution assumptions affect results.
Compare signal, sample and implementation choices.
| Related strategy | Relationship | What changes | New cost or risk |
|---|---|---|---|
| Base scenario | Manual inputs | Close-to-open overnight returns and open-to-close intraday returns can have different risk premia, information response and trading costs. Research compares these return legs and holding windows, but markets, samples and execution times matter. This tool keeps supplied historical decomposition separate from the next-period scenario. | No tick or historical market data is loaded; overnight gaps, financing, taxes and actual slippage are not estimated. |
| Conservative version | Lower exposure | Reduce exposure and raise sample thresholds. | May narrow strategy coverage. |
| Validation version | Out-of-sample review | Freeze signal definitions before time-ordered evaluation. | Needs more clean data and governance. |
No tick or historical market data is loaded; overnight gaps, financing, taxes and actual slippage are not estimated.
Read beyond the summary
References
Primary sources and research used to describe the strategy and its limits.