Holding overnight or by day, opening gaps and calendar effects

Twenty-nine tests of everyday timing beliefs: holding futures overnight or through the trading day, which hours the gains come from, calendar effects such as the turn of the month, and whether an opening gap keeps going in the first half hour. None passed after costs. A comparison of economic-report days with ordinary days was only described, not tested.

Refuted: Failed its test once trading costs were included. How to read a study.

Verdict, as the study states it: Twenty-nine arms run against a 27-test pre-registration, zero validated.

Study number

FPR-26-14

Versions tested

29

Pre-registration written

Sep 16, 2026, 09:58 ET

First result

Sep 16, 2026, 10:02 ET

Markets

NQ, ES, YM, RTY, GC, CL, ZN, 6E (full-size)

Backs

Being long during the day session; Gap continuation in the first 30 minutes; Turn-of-month strength; Release days are wilder

Sample

2010-2026 per root (RTY from 2017, 6E partial); event-conditioned arms only 2020-01-03 onward (event flags start there, not 2016 as the prereg assumed); splits 2010-2018 / 2019-2026 (price arms), 2016-2021 / 2022-2026 (event arms)

Costs

Round turn (2 ticks + $4): NQ $14, ES $29, YM $14, RTY $14, GC $24, CL $24, ZN $35.25, 6E $16.50

Notes and defects

Per claim: day session = pre-registered family D1 (8 roots, none pays; 5 of 8 negative); gap continuation = family E (2 arms, both refuted); turn-of-month = family C1 (refuted; flips sign between halves); 'Release days are wilder' ($2,880 vs $2,776 mean absolute NQ move, 2020+) is NOT a pre-registered test: the results label that table 'Computed after the fact and labelled descriptive — no test attached'. The NQ hour profile was pre-declared as descriptive. Partial because: 2 arms beyond the 27 frozen (declared); the prereg file was edited after the results (an 'ANSWERED' banner; no hash of the original body exists); and the release-day range figures are post hoc. Timestamp defect: the prereg says 'Frozen 2026-09-16 10:15 ET', but it was created 09:58:43 and the results JSON was written 10:02:33, so the stated freeze time is after the results.

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 (8 roots, 2010-2026); 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: What the desk can actually publish: a 29-arm strategy suite (overnight, timing, calendar, day session, gap follow-through)

Files

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

Cite this study

Futures Playbook Research (2026). Holding overnight or by day, opening gaps and calendar effects. Study FPR-26-14. https://www.futuresplaybook.com/research/product-strategy-suite

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.