Intraday Momentum

Persistent returns within trading days, particularly strong in equity index futures.

• Horizon: First hour → rest of day
• Sharpe: 1.5-2.5 in major equity indices
• Implementation: Sign of first hour return predicts rest of day

Overnight Anomaly

Returns from close to next open differ systematically from intraday returns.

• Effect: Positive overnight, negative intraday in equities
• Rationale: Risk premium for holding overnight vs informed trading during day
• Decay: Limited evidence of decay, but capacity constraints

Weekly Reversal

Mean reversion at weekly frequency, distinct from daily patterns.

• Implementation: Fade weekly winners, buy weekly losers
• Horizon: 5-10 days
• Note: Interaction with monthly momentum requires careful signal construction

Implementation Considerations

• Higher turnover requires careful transaction cost modeling
• May benefit from electronic execution
• Consider interaction with lower-frequency signals