"Monday-open edge study"

Universe: 375 delisting-inclusive liquid names (>=1500 obs, >$500,000 median $vol), 2006-08-14..2026-08-12, 944 Mondays. Signal: weekend gap = Mon open / Fri close (known AT the open). Forward: Mon open -> Mon close (MOO/MOC, executable). Costs: long-only 2cost roundtrip, long/short 4cost. Base cost 10bps one-way. sqrt(52). Split 2016-01-01.

#Scoreboard (net @ 10bps one-way)

Variant	Full Ret	Full SR	IS Ret	IS SR	OOS Ret	OOS SR	OOS MaxDD	p(mean<=0) OOS
BASE all-liquid	-85.1%	-1.44	-67.9%	-1.51	-53.4%	-1.43	-53.6%	1.000
WEEKREV_LO 5d-losers	-87.2%	-0.91	-77.5%	-1.27	-43.1%	-0.52	-53.7%	0.945
XSEC_MOM_LO 21d-win	-83.6%	-0.91	-76.4%	-1.36	-30.3%	-0.39	-36.3%	0.892
GAPFADE_LO gap-down-dec	+130.2%	0.38	+145.8%	0.79	-6.4%	0.03	-42.3%	0.457
GAPDN_20 biggest-down	-28.2%	-0.11	+1.5%	0.07	-29.3%	-0.29	-43.5%	0.814
GAPUP_20 biggest-up	-97.3%	-1.87	-92.7%	-2.50	-63.3%	-1.18	-63.3%	1.000
GAPFADE_LS dec	+549.1%	0.68	+1215.2%	1.87	-50.6%	-0.34	-67.2%	0.853
GAPCONT	g	>3%	-99.7%	-1.94	-98.5%	-2.77	-82.9%	-1.14

#Cost frontier — OOS net return by one-way cost (bps)

Alpaca equities are commission-free, so the real one-way cost is the auction half-spread + SEC/TAF sell fee (~0.3bps). For liquid large caps that is ~1-2bps one-way (2-4bps roundtrip); news-driven gap-down names are wider, ~3-6bps one-way.

Variant	0bps	1bps	2bps	3bps	5bps	10bps	break-even 1-way
BASE all-liquid	+26.1%	+14.2%	+3.4%	-6.4%	-23.3%	-53.4%	2.47bps
WEEKREV_LO 5d-losers	+54.0%	+39.4%	+26.2%	+14.2%	-6.4%	-43.1%	4.85bps
XSEC_MOM_LO 21d-win	+88.8%	+70.9%	+54.7%	+40.1%	+14.8%	-30.3%	6.75bps
GAPFADE_LO gap-down-dec	+153.4%	+129.4%	+107.7%	+88.0%	+54.1%	-6.4%	10.44bps
GAPDN_20 biggest-down	+91.3%	+73.2%	+56.8%	+41.9%	+16.3%	-29.3%	7.04bps
GAPUP_20 biggest-up	-0.7%	-10.1%	-18.6%	-26.3%	-39.6%	-63.3%	0.29bps
GAPFADE_LS dec	+261.6%	+196.4%	+142.9%	+99.1%	+33.7%	-50.6%	7.17bps
GAPCONT	g	>3%	-54.9%	-59.1%	-62.8%	-66.3%	-72.2%

#Era stability — gross bps/Monday

Era	GAPDN_20	GAPUP_20
2006-2010	+28.27	-51.23
2011-2015	+15.75	-25.00
2016-2020	+13.27	+2.30
2021-2026	+14.81	-0.98

#Commission-free reality check (2bps one-way, OOS)

At Alpaca's zero commission the binding cost is spread+fee, ~1-2bps one-way for liquid names. Re-scored OOS:

Variant	OOS Ret	OOS Sharpe	OOS MaxDD	per-Monday net	bootstrap p
BASE all-liquid	+3.4%	0.09	-16.4%	+0.95bps	0.388
WEEKREV_LO 5d-losers	+26.2%	0.29	-36.5%	+5.70bps	0.177
XSEC_MOM_LO 21d-win	+54.7%	0.56	-19.2%	+9.50bps	0.040
GAPFADE_LO gap-down-dec	+107.7%	0.58	-31.7%	+16.88bps	0.037
GAPDN_20 biggest-down	+56.8%	0.50	-26.7%	+10.08bps	0.055
GAPUP_20 biggest-up	-18.6%	-0.21	-25.6%	-3.42bps	0.740
GAPFADE_LS dec	+142.9%	0.62	-39.9%	+20.68bps	0.026
GAPCONT	g	>3%	-62.8%	-0.58	-66.2%

#Verdict

Unconditional: Monday is the WEAKEST day (0.021% vs 0.071% all-days), the classic weekend effect.
With Alpaca's ZERO commission the binding cost is spread+fee only (~1-2bps one-way for liquid names, ~2-4bps roundtrip). A generic 10bps assumption is far too harsh and hides a real edge.
The tradeable pattern is the Monday gap-down bounce: buy the biggest gap-DOWN names at the open, sell at the close. Gross +13-28bps/Monday in EVERY era (2006-2026).
Commission-free, the bottom-decile version is OOS net +108%, Sharpe 0.58, p=0.037 (significant); the top-20 version is +57%, Sharpe 0.50, p=0.055 (borderline). Break-even is ~7-10bps one-way, comfortably above the ~2bps real cost.
CAVEATS (read before trading): (1) universe is survivorship-inflated; (2) the gap-down names are news-driven and carry WIDER spreads than the liquid average, so 2bps is optimistic and 5bps drops p to 0.12-0.26; (3) it is a Monday-only long so capital is idle 6/7 days -> annualized on TOTAL capital is ~1/5 of the figures above; (4) small capacity (~20-37 names).
The long/short gap-fade had a spectacular IS (+1215%) that died OOS: overfit. Do not trade the short leg.
Bottom line: a real but small and fragile long-side Monday tilt, viable only because commission is zero.

#Illustrative live-at-open list — 2026-08-10 (100 biggest gap-DOWNs)

Ranked at that Monday's open by gap = open/Fri close - 1. This is the shape of the real-time output; it is NOT a forecast. At commission-free cost levels the study finds a small but significant OOS long-side tilt (see verdict).

#	sym	gap%	that day's open->close %
1	VRSK	-5.69	+0.15
2	INTC	-3.33	-0.75
3	EBAY	-2.42	-1.43
4	CCL	-2.38	-1.94
5	TTD	-2.36	-0.63
6	FOXA	-2.05	+1.12
7	DPZ	-2.04	+1.18
8	AAPL	-1.99	+0.47
9	CTSH	-1.91	+3.08
10	FOX	-1.61	+0.39
11	BLDR	-1.59	-2.07
12	MU	-1.58	-0.31
13	DG	-1.56	-1.76
14	RCL	-1.56	-2.22
15	BAX	-1.56	+2.43
16	GPC	-1.53	+0.73
17	WDAY	-1.48	+4.07
18	LOW	-1.39	-0.62
19	EL	-1.36	+0.05
20	SWK	-1.36	+0.16
21	PSA	-1.36	+0.54
22	DLTR	-1.34	+0.18
23	CRM	-1.33	+3.86
24	TYL	-1.31	+3.33
25	AMD	-1.30	-1.58
26	GEN	-1.27	+1.70
27	ARE	-1.25	-1.57
28	PYPL	-1.24	+1.26
29	AIG	-1.24	-0.24
30	TRMB	-1.21	-0.60
31	STX	-1.21	-0.24
32	GILD	-1.20	+1.10
33	KMB	-1.19	-0.32
34	EFX	-1.17	+0.34
35	DDOG	-1.17	+12.79
36	PGR	-1.11	+0.47
37	PTC	-1.10	+3.37
38	DAL	-1.09	-1.25
39	WSM	-1.08	+0.71
40	FIS	-1.08	+0.47
41	PPG	-1.06	-1.90
42	GDDY	-1.05	+1.53
43	FDS	-1.05	+0.55
44	BRO	-1.05	+1.30
45	IFF	-1.04	+0.11
46	EXPE	-1.01	+2.11
47	CPRT	-1.01	+0.78
48	CHTR	-1.00	+1.49
49	HD	-0.99	-0.37
50	GIS	-0.98	+2.00
51	SJM	-0.97	-0.78
52	AVY	-0.97	+1.64
53	FSLR	-0.96	-3.36
54	UAL	-0.95	-3.56
55	NCLH	-0.94	-2.73
56	INVH	-0.92	-0.66
57	TMO	-0.92	+1.90
58	BF.B	-0.91	-0.25
59	SW	-0.91	-0.52
60	T	-0.88	+1.99
61	ADP	-0.88	+1.77
62	ES	-0.86	-0.75
63	MGM	-0.85	-1.66
64	CHD	-0.85	+0.92
65	EXR	-0.83	-1.11
66	PM	-0.83	-1.06
67	AWK	-0.83	+0.94
68	CL	-0.83	+0.70
69	BALL	-0.82	-0.56
70	ADBE	-0.81	+3.76
71	HCA	-0.81	+0.98
72	MSCI	-0.80	+0.79
73	VTRS	-0.79	-0.12
74	SPG	-0.79	-0.27
75	CMCSA	-0.79	+0.16
76	MAS	-0.79	-2.83
77	EIX	-0.79	-0.37
78	DVA	-0.78	+0.75
79	MOS	-0.78	+2.58
80	CMS	-0.77	-2.01
81	PNR	-0.77	-2.38
82	WTW	-0.77	+0.25
83	DGX	-0.76	+0.47
84	CINF	-0.76	-0.95
85	VRSN	-0.75	+0.34
86	INTU	-0.75	+3.60
87	ULTA	-0.74	-2.20
88	ALLE	-0.73	-1.29
89	PPL	-0.73	-0.60
90	DHR	-0.73	+3.01
91	PG	-0.73	+1.18
92	JBHT	-0.72	-0.17
93	ACN	-0.72	+2.17
94	TMUS	-0.71	+1.28
95	VEEV	-0.70	+2.55
96	IP	-0.70	+0.12
97	TSCO	-0.69	+0.87
98	WMT	-0.69	+1.42
99	CFG	-0.69	+0.69
100	CRL	-0.69	+4.27

Scoreboard (net @ 10bps one-way)

Variant

Full Ret

Full SR

IS Ret

IS SR

OOS Ret

OOS SR

OOS MaxDD

p(mean<=0) OOS

BASE all-liquid

-85.1%

-1.44

-67.9%

-1.51

-53.4%

-1.43

-53.6%

1.000

WEEKREV_LO 5d-losers

-87.2%

-0.91

-77.5%

-1.27

-43.1%

-0.52

-53.7%

0.945

XSEC_MOM_LO 21d-win

-83.6%

-0.91

-76.4%

-1.36

-30.3%

-0.39

-36.3%

0.892

GAPFADE_LO gap-down-dec

+130.2%

0.38

+145.8%

0.79

-6.4%

0.03

-42.3%

0.457

GAPDN_20 biggest-down

-28.2%

-0.11

+1.5%

0.07

-29.3%

-0.29

-43.5%

0.814

GAPUP_20 biggest-up

-97.3%

-1.87

-92.7%

-2.50

-63.3%

-1.18

-63.3%

1.000

GAPFADE_LS dec

+549.1%

0.68

+1215.2%

1.87

-50.6%

-0.34

-67.2%

0.853

GAPCONT

>3%

-99.7%

-1.94

-98.5%

-2.77

-82.9%

-1.14

Cost frontier — OOS net return by one-way cost (bps)

Variant

0bps

1bps

2bps

3bps

5bps

10bps

break-even 1-way

BASE all-liquid

+26.1%

+14.2%

+3.4%

-6.4%

-23.3%

-53.4%

2.47bps

WEEKREV_LO 5d-losers

+54.0%

+39.4%

+26.2%

+14.2%

-6.4%

-43.1%

4.85bps

XSEC_MOM_LO 21d-win

+88.8%

+70.9%

+54.7%

+40.1%

+14.8%

-30.3%

6.75bps

GAPFADE_LO gap-down-dec

+153.4%

+129.4%

+107.7%

+88.0%

+54.1%

-6.4%

10.44bps

GAPDN_20 biggest-down

+91.3%

+73.2%

+56.8%

+41.9%

+16.3%

-29.3%

7.04bps

GAPUP_20 biggest-up

-0.7%

-10.1%

-18.6%

-26.3%

-39.6%

-63.3%

0.29bps

GAPFADE_LS dec

+261.6%

+196.4%

+142.9%

+99.1%

+33.7%

-50.6%

7.17bps

GAPCONT

>3%

-54.9%

-59.1%

-62.8%

-66.3%

-72.2%

Era

GAPDN_20

GAPUP_20

2006-2010

+28.27

-51.23

2011-2015

+15.75

-25.00

2016-2020

+13.27

+2.30

2021-2026

+14.81

-0.98

Commission-free reality check (2bps one-way, OOS)

At Alpaca's zero commission the binding cost is spread+fee, ~1-2bps one-way for liquid names. Re-scored OOS:

Variant

OOS Ret

OOS Sharpe

OOS MaxDD

per-Monday net

bootstrap p

BASE all-liquid

+3.4%

0.09

-16.4%

+0.95bps

0.388

WEEKREV_LO 5d-losers

+26.2%

0.29

-36.5%

+5.70bps

0.177

XSEC_MOM_LO 21d-win

+54.7%

0.56

-19.2%

+9.50bps

0.040

GAPFADE_LO gap-down-dec

+107.7%

0.58

-31.7%

+16.88bps

0.037

GAPDN_20 biggest-down

+56.8%

0.50

-26.7%

+10.08bps

0.055

GAPUP_20 biggest-up

-18.6%

-0.21

-25.6%

-3.42bps

0.740

GAPFADE_LS dec

+142.9%

0.62

-39.9%

+20.68bps

0.026

GAPCONT

>3%

-62.8%

-0.58

-66.2%

Verdict

Unconditional: Monday is the WEAKEST day (0.021% vs 0.071% all-days), the classic weekend effect.

With Alpaca's ZERO commission the binding cost is spread+fee only (~1-2bps one-way for liquid names, ~2-4bps roundtrip). A generic 10bps assumption is far too harsh and hides a real edge.

The tradeable pattern is the Monday gap-down bounce: buy the biggest gap-DOWN names at the open, sell at the close. Gross +13-28bps/Monday in EVERY era (2006-2026).

Commission-free, the bottom-decile version is OOS net +108%, Sharpe 0.58, p=0.037 (significant); the top-20 version is +57%, Sharpe 0.50, p=0.055 (borderline). Break-even is ~7-10bps one-way, comfortably above the ~2bps real cost.

CAVEATS (read before trading): (1) universe is survivorship-inflated; (2) the gap-down names are news-driven and carry WIDER spreads than the liquid average, so 2bps is optimistic and 5bps drops p to 0.12-0.26; (3) it is a Monday-only long so capital is idle 6/7 days -> annualized on TOTAL capital is ~1/5 of the figures above; (4) small capacity (~20-37 names).

The long/short gap-fade had a spectacular IS (+1215%) that died OOS: overfit. Do not trade the short leg.

Bottom line: a real but small and fragile long-side Monday tilt, viable only because commission is zero.

Illustrative live-at-open list — 2026-08-10 (100 biggest gap-DOWNs)

sym

gap%

that day's open->close %

VRSK

-5.69

+0.15

INTC

-3.33

-0.75

EBAY

-2.42

-1.43

CCL

-2.38

-1.94

TTD

-2.36

-0.63

FOXA

-2.05

+1.12

DPZ

-2.04

+1.18

AAPL

-1.99

+0.47

CTSH

-1.91

+3.08

FOX

-1.61

+0.39

BLDR

-1.59

-2.07

-1.58

-0.31

-1.56

-1.76

RCL

-1.56

-2.22

BAX

-1.56

+2.43

GPC

-1.53

+0.73

WDAY

-1.48

+4.07

LOW

-1.39

-0.62

-1.36

+0.05

SWK

-1.36

+0.16

PSA

-1.36

+0.54

DLTR

-1.34

+0.18

CRM

-1.33

+3.86

TYL

-1.31

+3.33

AMD

-1.30

-1.58

GEN

-1.27

+1.70

ARE

-1.25

-1.57

PYPL

-1.24

+1.26

AIG

-1.24

-0.24

TRMB

-1.21

-0.60

STX

-1.21

-0.24

GILD

-1.20

+1.10

KMB

-1.19

-0.32

EFX

-1.17

+0.34

DDOG

-1.17

+12.79

PGR

-1.11

+0.47

PTC

-1.10

+3.37

DAL

-1.09

-1.25

WSM

-1.08

+0.71

FIS

-1.08

+0.47

PPG

-1.06

-1.90

GDDY

-1.05

+1.53

FDS

-1.05

+0.55

BRO

-1.05

+1.30

IFF

-1.04

+0.11

EXPE

-1.01

+2.11

CPRT

-1.01

+0.78

CHTR

-1.00

+1.49

-0.99

-0.37

GIS

-0.98

+2.00

SJM

-0.97

-0.78

AVY

-0.97

+1.64

FSLR

-0.96

-3.36

UAL

-0.95

-3.56

NCLH

-0.94

-2.73

INVH

-0.92

-0.66

TMO

-0.92

+1.90

BF.B

-0.91

-0.25

-0.91

-0.52

-0.88

+1.99

ADP

-0.88

+1.77

-0.86

-0.75

MGM

-0.85

-1.66

CHD

-0.85

+0.92

EXR

-0.83

-1.11

-0.83

-1.06

AWK

-0.83

+0.94

-0.83

+0.70

BALL

-0.82

-0.56

ADBE

-0.81

+3.76

HCA

-0.81

+0.98

MSCI

-0.80

+0.79

VTRS

-0.79

-0.12

SPG

-0.79

-0.27

CMCSA

-0.79

+0.16

MAS

-0.79

-2.83

EIX

-0.79

-0.37

DVA

-0.78

+0.75

MOS

-0.78

+2.58

CMS

-0.77

-2.01

PNR

-0.77

-2.38

WTW

-0.77

+0.25

DGX

-0.76

+0.47

CINF

-0.76

-0.95

VRSN

-0.75

+0.34

INTU

-0.75

+3.60

ULTA

-0.74

-2.20

ALLE

-0.73

-1.29

PPL

-0.73

-0.60

DHR

-0.73

+3.01

-0.73

+1.18

JBHT

-0.72

-0.17

ACN

-0.72

+2.17

TMUS

-0.71

+1.28

VEEV

-0.70

+2.55

-0.70

+0.12

TSCO

-0.69

+0.87

WMT

-0.69

+1.42

CFG

-0.69

+0.69

100

CRL

-0.69

+4.27