ETFs ['SPY', 'QQQ', 'IWM', 'DIA', 'RSP'] | adjusted daily 2004+ (start varies) | IS<2016<=OOS | costs per side | sqrt(252).
| etf | leg | ann | Sharpe full | Sharpe IS | Sharpe OOS | maxDD |
|---|
| SPY | overnight(c->o) | +8.2% | 0.76 | 0.68 | 0.85 | -29.4% |
| SPY | intraday(o->c) | +2.5% | 0.24 | 0.10 | 0.43 | -46.9% |
| SPY | full(c->c) | +10.9% | 0.65 | 0.46 | 0.88 | -55.2% |
| QQQ | overnight(c->o) | +11.8% | 0.97 | 1.01 | 0.93 | -27.4% |
| QQQ | intraday(o->c) | +2.9% | 0.25 | 0.06 | 0.46 | -54.1% |
| QQQ | full(c->c) | +15.1% | 0.76 | 0.60 | 0.94 | -53.4% |
| IWM | overnight(c->o) | +12.3% | 0.94 | 0.81 | 1.07 | -28.8% |
| IWM | intraday(o->c) | -3.1% | -0.06 | 0.01 | -0.16 | -62.5% |
| IWM | full(c->c) | +8.8% | 0.47 | 0.41 | 0.54 | -58.6% |
| DIA | overnight(c->o) | +7.3% | 0.72 | 0.64 | 0.80 | -28.8% |
| DIA | intraday(o->c) | +2.2% | 0.23 | 0.13 | 0.35 | -43.6% |
| DIA | full(c->c) | +9.7% | 0.61 | 0.46 | 0.79 | -51.9% |
| RSP | overnight(c->o) | +11.4% | 1.00 | 1.13 | 0.83 | -32.0% |
| RSP | intraday(o->c) | -1.3% | 0.00 | -0.16 | 0.24 | -60.7% |
| RSP | full(c->c) | +10.1% | 0.58 | 0.50 | 0.70 | -59.9% |
| etf | bps/side | OOS Sharpe | OOS ret | IS Sharpe | full Sharpe | full maxDD |
|---|
| SPY | 0 | 0.85 | +165.2% | 0.68 | 0.76 | -29.4% |
| SPY | 1 | 0.41 | +54.6% | 0.21 | 0.31 | -29.8% |
| SPY | 2 | -0.03 | -9.9% | -0.25 | -0.14 | -55.9% |
| SPY | 5 | -1.35 | -82.2% | -1.64 | -1.50 | -98.1% |
| QQQ | 0 | 0.93 | +252.1% | 1.01 | 0.97 | -27.4% |
| QQQ | 1 | 0.56 | +105.3% | 0.56 | 0.56 | -30.8% |
| QQQ | 2 | 0.19 | +19.6% | 0.10 | 0.15 | -35.3% |
| QQQ | 5 | -0.92 | -76.3% | -1.26 | -1.08 | -96.1% |
| IWM | 0 | 1.07 | +356.0% | 0.81 | 0.94 | -28.8% |
| IWM | 1 | 0.71 | +165.9% | 0.41 | 0.56 | -30.5% |
| IWM | 2 | 0.36 | +55.0% | 0.00 | 0.18 | -45.8% |
| IWM | 5 | -0.71 | -69.3% | -1.20 | -0.95 | -95.9% |
| DIA | 0 | 0.80 | +145.8% | 0.64 | 0.72 | -28.8% |
| DIA | 1 | 0.36 | +43.3% | 0.13 | 0.24 | -29.2% |
| DIA | 2 | -0.09 | -16.5% | -0.38 | -0.23 | -57.2% |
| DIA | 5 | -1.43 | -83.5% | -1.91 | -1.67 | -98.5% |
| RSP | 0 | 0.83 | +155.3% | 1.13 | 1.00 | -32.0% |
| RSP | 1 | 0.39 | +48.8% | 0.71 | 0.56 | -34.5% |
| RSP | 2 | -0.06 | -13.3% | 0.28 | 0.12 | -48.2% |
| RSP | 5 | -1.41 | -82.8% | -1.00 | -1.18 | -96.4% |
- overnight net OOS Sharpe 0.10 (ret +4.7%, DD -29.8%)
- buy&hold OOS Sharpe 0.81 (ret +315.3%, DD -35.6%)
- DSR(K=5) nan | PSR 0.622 | haircut SR 0.00
| series | mean(overnight) p | overnight-minus-intraday bps | p |
|---|
| SPY | 0.000 | +2.0 | 0.071 |
| QQQ | 0.000 | +3.0 | 0.029 |
| IWM | 0.000 | +5.5 | 0.002 |
| DIA | 0.000 | +1.8 | 0.077 |
| RSP | 0.000 | +4.5 | 0.000 |
| EW-basket | 0.000 | +3.4 | 0.009 |
REJECT — at the realistic 2 bps/side, overnight net beats buy&hold OOS for no ETF; EW basket 0.10 vs B&H 0.81. The gross premium is real but a 252x/yr round trip consumes it.
- Adopt only if overnight net beats the same-ETF buy&hold OOS Sharpe at 2 bps/side AND block-bootstrap p < 0.05.
- The overnight leg is equity beta, not market-neutral alpha: report the Sharpe/DD improvement over buy&hold, not a directional call.
Runtime 9s.