The overnight sleeve buys at the closing cross and sells at the opening
cross; the backtest used Yahoo open/close and 1 bp a side. On 800 random
nights in 2016-26 (7,856 name-nights), the backtest night return exceeds the
cross-to-cross return by +0.12 bp (SE 0.24, median 0): Yahoo's prices are
the crosses. With the SEC fee, cost is +0.20 bp a side, so 1 bp was
conservative. At the Reg T cap this lifts three_sleeve_overnight to 39%/yr
(MaxDD -27%) and the 12_1 variant to 44%. Live fills at the cross remain
unverified (paper does not run auctions).
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Gahow Wang
aa24ed8c31