Does the overnight rise come from big-news nights?

Checks whether the overnight rise in futures comes mostly from nights before scheduled news, such as jobs or inflation reports. Apart from the night before a Federal Reserve rate decision, which was already known, no kind of news night explained it.

Inconclusive: Not enough evidence either way. How to read a study.

Verdict, as the study states it: Pre-FOMC (positive control) supported on NQ (n=53, net $972.70, t=3.12) and ES; every other arm inconclusive or suggestive. The overnight drift does not live only in identifiable event nights.

Study number

FPR-26-12

Versions tested

20

Pre-registration written

Sep 15, 2026, 22:42 ET

First result

Sep 15, 2026, 23:26 ET

Markets

NQ, ES, GC (CL side table)

Backs

The pre-FOMC night on NQ

Sample

Nights 2020-01-01 to 2026-09 (NQ 1,642 nights); train 2020-2023 / confirm 2024 onward

Costs

$4 round turn + 1 tick each way: NQ $14, ES $29, GC $24

Notes and defects

Prereg created 22:42:14, runner 22:54:20, first results 23:26:19 (re-run 05:32 after the news wire was filled; verdicts unchanged). Arms = 7 (NQ) + 7 (ES) + 6 (GC) primary cells. Pre-FOMC was pre-registered as a pipeline POSITIVE CONTROL for an effect already known from the 2026-08-25 study, not as a new hypothesis.

Data needed to rerun: CME futures 1-minute OHLCV bars (Databento GLBX layout: ts_event,rtype,publisher_id,instrument_id,open,high,low,close,volume,symbol) at <data-root>/fp-data/glbx/<ROOT>/1m/<YEAR>.csv; licensed vendor data, not redistributed (NQ, ES, GC 2020-2026); the fp-context event archive (<data-root>/fp-context: events/**/*.jsonl with ts_event/ts_published/subclass/region, events/earnings/_weights.json, features/context_daily.jsonl); built from FMP, Fed, BLS/BEA, Federal Register, GDELT, Alpaca and SEC EDGAR feeds; not redistributed and its builder is not included

Original working title: Does the overnight drift concentrate in identifiable event nights beyond pre-FOMC?

Files

Hashes for every file are in SHA256SUMS. Market data is not included.

Cite this study

Futures Playbook Research (2026). Does the overnight rise come from big-news nights?. Study FPR-26-12. https://www.futuresplaybook.com/research/overnight-event-nights

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.