S-TIER resource
Overnight vs intraday returns — Knuteson's 'Strikingly Suspicious' anomaly
100k ft — What is this?
Overnight vs intraday returns — Knuteson's 'Strikingly Suspicious' anomaly
50k ft — Why care?
Bruce Knuteson (ex-MIT physicist, D. E. Shaw) splits each day into close-to-open and open-to-close: Micron since 1990 is +138M% overnight and -99.9% intraday, and the same sawtooth shows in 21 indices (China reversed). His paper 'Strikingly Suspicious Overnight and Intraday Returns' rejects earnings and news as explanations and alleges large firms push prices at the open; it's a claim, not a proof.
10k ft — Key takeaways
• Decompose returns into overnight and intraday legs; the two compound to buy-and-hold
• Paper: Knuteson, 'Strikingly Suspicious Overnight and Intraday Returns' (arXiv, 2020)
• Pattern holds across 21 global indices, so it's not a single-stock artifact
• Trading costs and gaps at the open matter before treating this as a strategy
5k ft — Tools & techniques
(no tools tagged)
algorithmic trading, overnight drift, return decomposition
1k ft — Deep-dive / try it
A 138,330,342% stock trading strategy, explained with a vampire. 🧛
A former MIT physicist and D. E. Shaw quant split every trading day in two: the night and the day.
Micron since 1990, nights only: +138,330,342%
Days only: −99.92%
Just holding it: about 1,100x — weird, true and worth exploring.
Paper: “Strikingly Suspicious Overnight and Intraday Returns”
#quant #finance #quantfinance trading
Transcript excerpt
How a former MIT physicist and D.E. Shaw quant discovered a stock trading strategy that made a 138 million percent return, explained with a vampire. This is Micron stock. Held since 1990, it looks like every normal stock, until you look at it the way he did. Split every day in two, the night and the day. The nights alone made 138 million percent. The days alone lost 99.9 on paper. How were both hiding in one ordinary chart? Ask the vampire. This is a vampire. Every night it rises. Every day the sun sends it back down. A stock does the same. The night from the close to the next open, and the day from open to close. So the price is a sawtooth. Up overnight, down by day. Pull out every night and chain them together, and you get one curve. Chain the days, and you get the other. Multiply the two, and you are back to simply holding the stock. A huge number times a tiny one. About 1100 times your money. They look lopsided because a fall stops at the floor. You cannot lose more than everything. So count like a vampire. One bite makes two. 20 doublings by night, 10 halfings by day. And each bite is small. Each night, $100 becomes $100.15. Do that 9,000 times, and compounding does the rest. Is it only Micron? In 2020, Bruce Knudsen charted the same pattern in 21 stock indices around the world. Canada, up 1,062% by night, down 67 by day. Germany, Japan, India, the same shape. One exception, China, where the vampire comes out by day. Knudsen argues the usual answers fall short. Earnings…