Under quant-trading's PIT research engine (S&P 500 members 2006-2026,
10 bp), overnight_recovery_top10 filled at the next close beat the
daily UpCap+MomGap by 10.5%/yr (paired Newey-West t 2.44) at 3x instead
of 29x yearly turnover. UpCap+MomGap was a CN champion there, and its
daily variant was never picked for the US book.
- strategy: overnight-return momentum (12m skip 1m) + distance from the
126-day low, ported from strategies/robust_momentum.py; top 10 equal
weight, a held name stays while ranked within 30. Scores and picks
match RobustMomentumStrategy on the IB bars (25 rebalances, 0 diffs).
- rebalance: every 10 sessions from strategy.anchor (2026-09-29), on
completed sessions through yesterday's close, MOC at today's close;
other sessions do nothing and weights drift.
- backtest trades only on rebalance sessions, like the live loop.
Co-Authored-By: Claude Opus 5.5 (1M context) <noreply@anthropic.com>
Gahow Wang
d945624601