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Gahow Wang aa24ed8c31 research: auction audit of the overnight sleeve's prices (PASS: 0.2 bp a side) 
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>
2026-10-12 21:08:32 -07:00
..
__init__.py
research: point-in-time factor research harness (research/lab)
2026-09-25 19:11:59 +08:00
activist_strategy.py
research: commit the 2026-10-07/08 studies left in the working tree, overnight mid/small (STOP)
2026-10-09 22:20:43 -07:00
activists.py
research: commit the 2026-10-07/08 studies left in the working tree, overnight mid/small (STOP)
2026-10-09 22:20:43 -07:00
alpha.py
feat: us_momentum_qqq_trend; alpha-vs-QQQ research across new data sources
2026-09-29 13:40:15 +08:00
analyst_estimates.py
research: timestamped Yahoo analyst snapshots and a forward-only EPS-revision overlay
2026-10-12 05:16:19 -07:00
attention.py
feat(research): supply-chain links, theme propagation, cycles, attention, small caps
2026-09-30 20:25:08 +08:00
auction_audit.py
research: auction audit of the overnight sleeve's prices (PASS: 0.2 bp a side)
2026-10-12 21:08:32 -07:00
baselines.py
research: point-in-time factor research harness (research/lab)
2026-09-25 19:11:59 +08:00
beat_qqq.py
feat: us_momentum_qqq_trend; alpha-vs-QQQ research across new data sources
2026-09-29 13:40:15 +08:00
concentration.py
feat(research): supply-chain links, theme propagation, cycles, attention, small caps
2026-09-30 20:25:08 +08:00
construction.py
research: point-in-time factor research harness (research/lab)
2026-09-25 19:11:59 +08:00
daytime_reversal.py
research: daytime reversal of the overnight gap on S&P 500 (STOP)
2026-10-09 22:07:26 -07:00
dip_buying.py
research: buy-the-dip studies, both STOP (kept as evidence)
2026-10-12 06:17:27 -07:00
dip_leverage_overlay.py
research: buy-the-dip studies, both STOP (kept as evidence)
2026-10-12 06:17:27 -07:00
diversifiers.py
feat: us_momentum_qqq_trend; alpha-vs-QQQ research across new data sources
2026-09-29 13:40:15 +08:00
earnings.py
feat: us_momentum_qqq_trend; alpha-vs-QQQ research across new data sources
2026-09-29 13:40:15 +08:00
engine.py
feat: US 3-sleeve portfolio and lowrisk_top20; US portfolio research harness
2026-09-29 01:03:50 +08:00
evaluate.py
fix: unify backtest execution and add forward validation candidates
2026-10-01 02:24:01 -07:00
export_curves.py
research: point-in-time factor research harness (research/lab)
2026-09-25 19:11:59 +08:00
factor_census.py
research: factor census on the current panel; key the factor-rank cache to the panel
2026-10-12 07:14:42 -07:00
factor_scan.py
research: point-in-time factor research harness (research/lab)
2026-09-25 19:11:59 +08:00
factors.py
fix(backtest): settle delisted US holdings (engine v3), PIT membership before 2011, registry causality test
2026-10-10 00:21:49 -07:00
fails.py
research: commit the 2026-10-07/08 studies left in the working tree, overnight mid/small (STOP)
2026-10-09 22:20:43 -07:00
fetch_13d_targets.py
research: commit the 2026-10-07/08 studies left in the working tree, overnight mid/small (STOP)
2026-10-09 22:20:43 -07:00
fetch_13d.py
research: commit the 2026-10-07/08 studies left in the working tree, overnight mid/small (STOP)
2026-10-09 22:20:43 -07:00
fetch_13f.py
research: commit the 2026-10-07/08 studies left in the working tree, overnight mid/small (STOP)
2026-10-09 22:20:43 -07:00
fetch_alpaca.py
research: 50%-target search — conservative book, daily quick checks, Alpaca intraday
2026-10-09 00:58:47 -07:00
fetch_cn_yahoo.py
research: point-in-time factor research harness (research/lab)
2026-09-25 19:11:59 +08:00
fetch_cn.py
research: point-in-time factor research harness (research/lab)
2026-09-25 19:11:59 +08:00
fetch_fails.py
research: commit the 2026-10-07/08 studies left in the working tree, overnight mid/small (STOP)
2026-10-09 22:20:43 -07:00
fetch_gdelt.py
research: commit the 2026-10-07/08 studies left in the working tree, overnight mid/small (STOP)
2026-10-09 22:20:43 -07:00
fetch_insider.py
research: commit the 2026-10-07/08 studies left in the working tree, overnight mid/small (STOP)
2026-10-09 22:20:43 -07:00
fetch_lazy_prices.py
feat: us_momentum_qqq_trend; alpha-vs-QQQ research across new data sources
2026-09-29 13:40:15 +08:00
fetch_long_history.py
feat: us_momentum_qqq_trend; alpha-vs-QQQ research across new data sources
2026-09-29 13:40:15 +08:00
fetch_options.py
options bars: split a symbol batch in half on HTTP 504
2026-10-12 12:31:50 -07:00
fetch_shortvolume.py
research: commit the 2026-10-07/08 studies left in the working tree, overnight mid/small (STOP)
2026-10-09 22:20:43 -07:00
fetch_supply_links.py
feat(research): supply-chain links, theme propagation, cycles, attention, small caps
2026-09-30 20:25:08 +08:00
fetch_tiingo.py
research: commit the 2026-10-07/08 studies left in the working tree, overnight mid/small (STOP)
2026-10-09 22:20:43 -07:00
fetch_us_fundamentals.py
research: S&P 600 replication of mid-cap quality sleeves (all REJECT)
2026-10-08 18:46:45 -07:00
fetch_us_mid.py
feat(research): Tiingo backfill of delisted names; honest PIT panels
2026-10-08 09:48:05 -07:00
fetch_us_sectors.py
research: point-in-time factor research harness (research/lab)
2026-09-25 19:11:59 +08:00
fetch_us.py
research: point-in-time factor research harness (research/lab)
2026-09-25 19:11:59 +08:00
fetch_wiki_attention.py
feat(research): supply-chain links, theme propagation, cycles, attention, small caps
2026-09-30 20:25:08 +08:00
fund_eval.py
feat: US 3-sleeve portfolio and lowrisk_top20; US portfolio research harness
2026-09-29 01:03:50 +08:00
fundamentals.py
research: S&P 600 replication of mid-cap quality sleeves (all REJECT)
2026-10-08 18:46:45 -07:00
futures_trend.py
research: beta-hedged momentum (STOP) and 24-market futures TSMOM quick checks
2026-10-08 22:45:21 -07:00
hedged_momentum.py
research: beta-hedged momentum (STOP) and 24-market futures TSMOM quick checks
2026-10-08 22:45:21 -07:00
industry.py
feat: us_momentum_qqq_trend; alpha-vs-QQQ research across new data sources
2026-09-29 13:40:15 +08:00
insider_mid.py
research: commit the 2026-10-07/08 studies left in the working tree, overnight mid/small (STOP)
2026-10-09 22:20:43 -07:00
insider.py
feat: us_momentum_qqq_trend; alpha-vs-QQQ research across new data sources
2026-09-29 13:40:15 +08:00
inst_flow.py
research: commit the 2026-10-07/08 studies left in the working tree, overnight mid/small (STOP)
2026-10-09 22:20:43 -07:00
intraday_momentum.py
research: 50%-target search — conservative book, daily quick checks, Alpaca intraday
2026-10-09 00:58:47 -07:00
lazy_prices.py
feat: us_momentum_qqq_trend; alpha-vs-QQQ research across new data sources
2026-09-29 13:40:15 +08:00
lead_lag_small.py
feat(research): supply-chain links, theme propagation, cycles, attention, small caps
2026-09-30 20:25:08 +08:00
lead_lag.py
feat(research): supply-chain links, theme propagation, cycles, attention, small caps
2026-09-30 20:25:08 +08:00
letf_history.py
feat: us_momentum_qqq_trend; alpha-vs-QQQ research across new data sources
2026-09-29 13:40:15 +08:00
levered_book.py
feat: us_momentum_qqq_trend; alpha-vs-QQQ research across new data sources
2026-09-29 13:40:15 +08:00
managed_futures_book.py
research: 50%-target search — conservative book, daily quick checks, Alpaca intraday
2026-10-09 00:58:47 -07:00
midcap_sleeve.py
research: S&P 600 replication of mid-cap quality sleeves (all REJECT)
2026-10-08 18:46:45 -07:00
ml.py
research: point-in-time factor research harness (research/lab)
2026-09-25 19:11:59 +08:00
momentum_fundamentals.py
chore: untrack generated data; add momentum + fundamentals experiment
2026-09-29 14:42:49 +08:00
news_volume.py
research: commit the 2026-10-07/08 studies left in the working tree, overnight mid/small (STOP)
2026-10-09 22:20:43 -07:00
option_overlay.py
research: options and futures for leverage and S&P 500 put hedges in $10k-$100k accounts (no route reaches 50%; puts FAIL)
2026-10-12 20:02:45 -07:00
option_volume.py
research: option-volume signals on OPRA bars 2024-03..2026-09 (STOP)
2026-10-12 12:31:54 -07:00
orb_stocks_in_play.py
research: ORB (STOP), overnight-only momentum (STOP), Alpaca paper forward test
2026-10-09 20:06:34 -07:00
overlays.py
feat: US 3-sleeve portfolio and lowrisk_top20; US portfolio research harness
2026-09-29 01:03:50 +08:00
overnight_book_mf.py
research: overnight-only momentum in the sleeve book (CONTINUE), CTA sleeve (KEEP)
2026-10-09 22:03:18 -07:00
overnight_book.py
research: overnight-only momentum in the sleeve book (CONTINUE), CTA sleeve (KEEP)
2026-10-09 22:03:18 -07:00
overnight_midsmall.py
research: commit the 2026-10-07/08 studies left in the working tree, overnight mid/small (STOP)
2026-10-09 22:20:43 -07:00
overnight_only.py
research: ORB (STOP), overnight-only momentum (STOP), Alpaca paper forward test
2026-10-09 20:06:34 -07:00
panel_gaps.py
feat(research): Tiingo backfill of delisted names; honest PIT panels
2026-10-08 09:48:05 -07:00
panel_mid.py
feat: us_momentum_qqq_trend; alpha-vs-QQQ research across new data sources
2026-09-29 13:40:15 +08:00
panel.py
fix(backtest): settle delisted US holdings (engine v3), PIT membership before 2011, registry causality test
2026-10-10 00:21:49 -07:00
persistence.py
feat: US 3-sleeve portfolio and lowrisk_top20; US portfolio research harness
2026-09-29 01:03:50 +08:00
qqq_scan.py
feat: us_momentum_qqq_trend; alpha-vs-QQQ research across new data sources
2026-09-29 13:40:15 +08:00
registered.py
fix(backtest): settle delisted US holdings (engine v3), PIT membership before 2011, registry causality test
2026-10-10 00:21:49 -07:00
report.py
research: point-in-time factor research harness (research/lab)
2026-09-25 19:11:59 +08:00
review_live_us.py
feat(research): supply-chain links, theme propagation, cycles, attention, small caps
2026-09-30 20:25:08 +08:00
rotation.py
research: factor census on the current panel; key the factor-rank cache to the panel
2026-10-12 07:14:42 -07:00
run_ml.py
research: point-in-time factor research harness (research/lab)
2026-09-25 19:11:59 +08:00
sector_cycle.py
feat(research): supply-chain links, theme propagation, cycles, attention, small caps
2026-09-30 20:25:08 +08:00
short_horizon.py
feat: us_momentum_qqq_trend; alpha-vs-QQQ research across new data sources
2026-09-29 13:40:15 +08:00
short_vol.py
research: 50%-target search — conservative book, daily quick checks, Alpaca intraday
2026-10-09 00:58:47 -07:00
short_volume.py
research: commit the 2026-10-07/08 studies left in the working tree, overnight mid/small (STOP)
2026-10-09 22:20:43 -07:00
small_cap_reversal.py
research: 50%-target search — conservative book, daily quick checks, Alpaca intraday
2026-10-09 00:58:47 -07:00
stepwise.py
fix: unify backtest execution and add forward validation candidates
2026-10-01 02:24:01 -07:00
stream_portfolio.py
research: risk-budgeted book of five return streams (REJECT)
2026-10-08 21:17:12 -07:00
svr_combo.py
research: low_svr21 combination study (STOP); daily option-chain snapshots
2026-10-12 07:26:33 -07:00
theme_propagation.py
feat(research): supply-chain links, theme propagation, cycles, attention, small caps
2026-09-30 20:25:08 +08:00
tiingo_merge.py
feat(research): Tiingo backfill of delisted names; honest PIT panels
2026-10-08 09:48:05 -07:00
trend_rider_long.py
feat: US 3-sleeve portfolio and lowrisk_top20; US portfolio research harness
2026-09-29 01:03:50 +08:00
trials.py
fix: unify backtest execution and add forward validation candidates
2026-10-01 02:24:01 -07:00
turn_of_month.py
research: 50%-target search — conservative book, daily quick checks, Alpaca intraday
2026-10-09 00:58:47 -07:00
union_shield.py
research: commit the 2026-10-07/08 studies left in the working tree, overnight mid/small (STOP)
2026-10-09 22:20:43 -07:00
universe_midcap.py
research: S&P 500 ∪ S&P 400 universe for overnight_recovery_top10 (FAIL)
2026-10-08 08:43:50 -07:00
us_final.py
fix: unify backtest execution and add forward validation candidates
2026-10-01 02:24:01 -07:00
us_sweep.py
fix: unify backtest execution and add forward validation candidates
2026-10-01 02:24:01 -07:00
us_target50.py
feat: us_momentum_qqq_trend; alpha-vs-QQQ research across new data sources
2026-09-29 13:40:15 +08:00
vol_trend.py
feat: us_momentum_qqq_trend; alpha-vs-QQQ research across new data sources
2026-09-29 13:40:15 +08:00