MOC→MOO Overnight Research 5y (v2) — 2026-04-22
Entry: close_t (MOC proxy, daily close)
Exit: open_{t+1} (MOO)
Hedge: SPY 1:1 overnight
Universe: ADV 2M+ ∩ Finviz mcap ≥$300M ∩ close ≥$5 ∩ non-ETF = 986 tickers
Period: 2021-04-22 .. 2026-04-21 (5 лет, 1.06M rows)
Costs: 6bps/trade (SPY hedge = 2 legs)
WF: TRAIN 2021-04→2024-04 (3y), TEST 2024-04→2026-04 (2y OOS), RECENT 2025-04→2026-04 (1y)
📊 Топ-метрики (Robust: Sharpe OOS≥2, sh_train≥0.5, ≥3/5 positive years)
Total candidates (OOS≥2)
246
Mean ov_ret (all) net 6bps
-0.045%
⚠️ Ключевое наблюдение: Baseline hedged overnight = ~0 alpha (mean 0.015% до costs).
Edge существует только в conditional segments. 22 гипотезы Apr 20 — только H3/H11/H15/H20 прошли на 5y WF, остальные были regime-specific (2024-2026 VIX elevated).
Новый mass-scan нашёл 65 robust combos с TRAIN+TEST coverage и 3+/5 positive years.
📈 Equity Curves TOP-20 LONG / TOP-20 SHORT / Combined (equal-weight)
🟢 TOP-20 LONG (Robust)
| Hypo | N | WR | Mean | Sh OOS | Sh Train | Sh Recent | Yrs+ |
|---|
| VIX>30_intra>3_Financial | 251 | 68.9% | 0.68% | 5.53 | 0.97 | 14.81 | 3/5 |
| V20-25_G<-3_Basic Materials | 474 | 65.6% | 1.01% | 5.38 | 0.80 | 6.37 | 4/6 |
| V>30_G-1..1_Energy | 335 | 65.1% | 0.41% | 5.33 | 1.62 | -5.64 | 3/4 |
| V>30_G1..3_Industrials | 134 | 51.5% | 0.72% | 5.06 | 0.54 | 8.93 | 4/5 |
| VIX25-30_DOW3_Consumer Defensive | 289 | 67.8% | 0.29% | 4.67 | 0.77 | 2.88 | 3/4 |
| SPYup_DOW2_Consumer Defensive_Vhi | 482 | 59.8% | 0.59% | 4.61 | 0.86 | -2.21 | 4/6 |
| SPYup_DOW2_Utilities_Vhi | 264 | 61.4% | 0.49% | 4.52 | 3.54 | -0.14 | 4/6 |
| SPYup_DOW2_Energy_Vhi | 743 | 69.2% | 0.53% | 4.33 | 2.01 | 10.52 | 5/6 |
| V20-25_G<-3_Energy | 231 | 67.1% | 0.51% | 3.91 | 1.23 | 5.59 | 4/6 |
| VIX>30_DOW0_Technology | 844 | 57.9% | 0.39% | 3.59 | 2.77 | 5.07 | 4/4 |
| VIX>30_intra>3_Technology | 474 | 59.9% | 0.47% | 3.39 | 1.16 | 7.42 | 3/5 |
| VIX>30_DOW0_Financial | 578 | 58.8% | 0.29% | 3.34 | 0.68 | 7.08 | 3/4 |
| SPYup_DOW0_Basic Materials_Vhi | 461 | 56.0% | 0.33% | 3.19 | 0.88 | 1.58 | 4/5 |
| SPYdn_DOW3_Utilities_Vhi | 371 | 63.1% | 0.27% | 3.15 | 0.82 | 2.80 | 4/6 |
| V13-16_G>3_Basic Materials | 387 | 61.2% | 0.53% | 2.99 | 2.41 | 5.09 | 5/5 |
| VIX16-20_intra>3_Basic Materials | 1414 | 57.9% | 0.50% | 2.99 | 1.56 | 3.22 | 6/6 |
| SPYflat_DOW1_Basic Materials_Vhi | 556 | 60.3% | 0.64% | 2.95 | 3.64 | 1.95 | 5/5 |
| SPYflat_DOW2_Energy_Vhi | 590 | 60.8% | 0.23% | 2.93 | 0.88 | -0.21 | 4/6 |
| VIX16-20_DOW4_Energy | 2604 | 57.3% | 0.29% | 2.91 | 2.47 | 2.83 | 5/6 |
| cp0.2-0.5_intra1..3_Industrials | 342 | 54.4% | 0.46% | 2.84 | 2.22 | 2.35 | 5/6 |
🔴 TOP-20 SHORT (Robust)
| Hypo | N | WR | Mean | Sh OOS | Sh Train | Sh Recent | Yrs+ |
|---|
| V>30_G>3_Energy | 77 | 87.0% | 0.99% | 8.12 | 4.19 | 3.37 | 4/4 |
| SPYdn_DOW0_Real Estate_Vlo | 249 | 71.1% | 0.32% | 7.48 | 4.07 | 10.80 | 4/4 |
| VIX>30_intra<-3_Energy | 273 | 64.8% | 0.66% | 5.72 | 0.51 | 6.41 | 3/5 |
| VIX>30_DOW4_Communication Services | 130 | 64.6% | 0.45% | 5.16 | 0.71 | 7.91 | 4/4 |
| VIX25-30_intra<-3_Basic Materials | 353 | 63.2% | 0.87% | 5.10 | 0.64 | 6.80 | 3/6 |
| VIX>30_DOW0_Consumer Defensive | 240 | 72.5% | 0.50% | 4.94 | 1.34 | 7.78 | 3/4 |
| VIX>30_DOW4_Consumer Cyclical | 308 | 59.1% | 0.41% | 4.24 | 0.95 | 4.19 | 4/4 |
| SPYup_DOW2_Technology_Vhi | 1746 | 62.0% | 0.55% | 4.23 | 2.77 | 2.25 | 5/6 |
| OPEX_Energy_SPYdn | 375 | 53.3% | 0.51% | 3.95 | 1.57 | 8.19 | 3/6 |
| SPYup_DOW1_Energy_Vhi | 446 | 64.1% | 0.47% | 3.93 | 0.62 | 11.11 | 4/6 |
| OPEX_Communication Services_SPYdn | 221 | 60.2% | 0.24% | 3.66 | 2.74 | 8.97 | 5/6 |
| V20-25_G>3_Financial | 330 | 66.1% | 0.69% | 3.45 | 1.59 | 4.50 | 6/6 |
| SPYflat_DOW2_Consumer Defensive_Vhi | 385 | 52.7% | 0.27% | 3.38 | 2.19 | 6.41 | 4/6 |
| VIX>30_DOW4_Healthcare | 267 | 62.2% | 0.33% | 3.32 | 1.82 | 7.47 | 4/4 |
| OPEX_Consumer Defensive_SPYup | 385 | 61.8% | 0.19% | 3.27 | 1.07 | 3.01 | 4/6 |
| SPYdn_DOW4_Communication Services_Vhi | 575 | 62.3% | 0.28% | 2.99 | 1.50 | 1.67 | 6/6 |
| V25-30_G<-3_Basic Materials | 146 | 44.5% | 0.68% | 2.95 | 1.61 | 3.31 | 4/6 |
| SPYdn_DOW4_Technology_Vlo | 1546 | 56.8% | 0.32% | 2.80 | 1.81 | 4.96 | 3/4 |
| SPYup_DOW2_Consumer Cyclical_Vhi | 1039 | 60.2% | 0.32% | 2.80 | 3.25 | 3.74 | 5/6 |
| V>30_G1..3_Energy | 182 | 63.7% | 0.32% | 2.78 | 0.87 | 9.79 | 3/4 |
📅 Yearly Sharpe Breakdown (TOP-20 portfolio)
🔍 Ключевые паттерны (from 65 robust)
- VIX>30 сигналы (crisis regime): Energy SHORT (WR 65-87%), Healthcare SHORT (WR 62%), Financials LONG (WR 69%), Communication Services SHORT (WR 65%). Работают в кризис-регимах — на calm market не срабатывают.
- VIX 20-25 + gap extreme: Gap{'}{<'}-3% LONG Basic Materials/Energy/Industrials (mean-reversion after selloff, WR 60-67%). Gap>+3% SHORT Financials (fade overextended, WR 66%).
- DOW patterns: Tuesday Vhi+SPYup = Defensive/Utilities/Energy LONG / Tech SHORT. Friday = Energy LONG (end-of-week carry). Wednesday = short bias in Defensives.
- OPEX expiration Friday: Energy/ComSvc SHORT when SPYdn (mean-reverts overnight).
- close_pos × intra: CP 0.2-0.5 + intra 1-3% + Industrials → LONG (moderate strength, not extended).
- Earnings (PEAD): no single robust earnings-alone edge survived 5y. Original H15 decayed.
💰 Execution & Capacity
- Avg 986 universe tickers/день. Top-20 LONG + Top-20 SHORT = 40 active hypos, многие overlap (т.е. несколько сигналов на один тикер).
- Per-hypo N ~150-2000/год → агрегировано 15-40 позиций/ночь при OR-overlay всех 40 робастных hypos.
- Avg mean per trade: LONG 0.48% net / SHORT 0.47% net (после 6bps). Sharpe порядка 3.5-4.2 на портфель топ-20.
- Гедж 1:1 SPY уже включён в hov_ret. User confirmed: LONG/SHORT 1:1 по BP. Если мало SHORT сигналов → hedge QQQ.
- Вход: LOC order at 15:58-15:59, size ≤ 1% ADV, max 20 позиций.
- Выход: MOO next day 09:30 opening auction.
⚠️ Caveats
- MOC proxy = close_t (не actual closing auction price) — real fill может отклоняться на 3-10bps.
- Finviz sector/mcap — static snapshot 2026, не historical. Sector membership мог измениться.
- er_d0 flag покрывает только AMC/BMO earnings events из marketbeat_earnings_historical.
- TTN cats — max_rating и counts на день closing. Должны быть доступны pre-MOC.
- |ret|<20% cap режет splits/spin-offs contamination.
- Regime-only hypotheses (sh_TRAIN<0.5) исключены — риск regime-shift.