Every paper here got tested.

The simulations are fully public and synthetic, so the numbers can be said out loud. Under a pure null with twenty variants per idea, tuning on the full sample falsely accepts 36.9% of candidates — and selecting on a reused holdout is the identical quantity, because a holdout consulted for selection is not a holdout. A disciplined single holdout achieves its nominal 2.3%; a trial-count-deflated hurdle achieves 0.4%. The popular fold-consistency heuristic passes 88% of noise — near-vacuous once selection is accounted for.

Against an era-locked alternative — a real effect confined to one regime — the standard stack fails almost completely (92% acceptance), while leave-best-era-out collapses acceptance to 1.2% at a null size of 0.04%. The price is measured rather than hidden: detection of a stable SR 0.5 on eight years of dailies is 28% under deflation, 7% under LBEO, and falls further when trial variants are realistically correlated. Severity is purchased with power at exactly the effect sizes that survive costs.

This is the paper we have spent the most research hours interrogating, and the field report is two-sided.

As a lens, it is permanently adopted. Decomposing every diagnostic into overnight and intraday components — the paper's basic move — changed how we read our own results: several behaviors that look like noise in close-to-close terms resolve into clean structure once the clock is split. The clientele framing also gives the most convincing answer we know to the question every systematic researcher gets asked: why would an edge survive being published? Because the other side of the trade is not uninformed — it is institutionally committed to trading at a particular time of day, and that commitment does not read papers.

As a timing overlay, it did not convert — for us. Overlays motivated by the paper's smoothed overnight-minus-intraday spread went through our standard protocol and no admissible configuration produced a single qualifying event out of sample (working note No. 9 records the funeral). We stress the scope of that sentence: our horizon, our instruments, our admission rules. The phenomenon in the paper is documented at monthly horizons on broad cross-sections; our failure to convert it says nothing about the paper's claims and a great deal about the distance between a documented premium and an adoptable signal.

Reading advice for practitioners: the introduction, Fig. 2, and Table 2 carry the argument; the international replication is the underrated part — nine markets with the same anatomy is the kind of robustness no backtest of ours will ever have.