SPY Close-Pressure Overshoot Fade: After a >=2-Sigma Session Move That FINISHES at the Extreme of the Day's Range, Take the Opposite Side for Exactly One Session (SPY.USEQ 1-DAY, long-short, 1x, flat ~95%, 2 structural parameters, pre-studied 1993-2026)

Single instrument, single leg, SPY.USEQ, 1-DAY bars, pure OHLCV, history 1993-01-29 to now (~33 years). Mechanism in one sentence, with instrument and timeframe removed: when an index's session return is an outlier (|z| >= 2 against its own trailing 60-session return sigma) AND the session closed in the extreme 20% of its high-low range in the direction of the move (so the move was still being pushed INTO the close), take the opposite side for exactly one session. Economic agent who pays: mechanical end-of-day demand. Examples are leveraged and inverse ETF daily rebalancing (hedge flow is proportional to the day's return times LETF AUM and is executed into the close, in the direction of the move), market-on-close imbalance orders, and vol-target or CTA de-risking. This flow is price-insensitive and pushes the close past fair value. Overnight and next-session liquidity providers are paid to absorb it and to reverse the overshoot. The close-location filter is what separates this from generic 'fade big days' mean reversion. It keeps only the days where the pressure was demonstrably still active at the close. PRE-STUDY (point-in-time: z uses the sigma of the prior 60 sessions, shifted by one; close-location uses the same bar's H/L/C, all known at the close). SPY, 1993-2026: 439 qualifying sessions (~13 per year). The close-to-next-close fade averaged +0.26% per trade (t=3.6), and every era was positive: 1993-2008 +0.24%, 2009-2017 +0.18%, 2018-2026 +0.39%. The COMPLEMENT (|z|>=2 but the close was NOT at the extreme, n=83) averaged -0.12%, so the filter carries the effect rather than cutting noise. Out-of-instrument replication with identical rules and no refit: QQQ +0.36% (n=368, t=3.2), DIA +0.26% (n=362, t=2.8), IWM +0.25% (n=293, t=2.1). The non-extreme complement is negative or zero on all four. Clock choice follows L166: the forward return peaks at 1 session. A 2-session close-to-close hold adds nothing on SPY and turns negative in 2009-2017 on QQQ, DIA and IWM, so the clock is exactly 1 session. Calendar Sharpe of the SPY 1x book was 0.63 (max DD 12.1%, in market ~5% of sessions). That is BELOW the 1.0 pre-study bar L166 advises. I am proposing it anyway because the t-stat, the 4-ETF replication and the three-era stability are stronger than anything else I pre-studied this session. Rejected for this slot: OPEX-week drift (t=0.56, no edge); a pooled OI-deleveraging-flush panel (calendar Sharpe 0.82, but a duplicate of the abandoned DOGE forced-deleveraging 24h-clock run); Polymarket up/down (per-market bars not collectable, per two data_unavailable deaths). FILL-TIMING ROBUSTNESS (see the IWM pre-holiday artifact): if the engine can only fill at the NEXT session's open, the next-open-to-next-close fade still averages +0.17% on SPY (t=2.9), +0.28% on QQQ, +0.14% on DIA and +0.19% on IWM. That is still 3x or more the ~0.05% USEQ round trip. The edge does not depend on getting the signal-day close fill. Distinct from abandoned neighbours: the XLF 2-day z-score fade (no close-location conditioning, multi-day z), Connors RSI(2) (long-only pullback within an SMA200 uptrend, multi-day exit), and the 12-name USEQ 'intraday liquidity shock' basket (hand-picked 12-name list, dollar-neutral book). This is one ETF, one leg, symmetric long and short, with a one-session clock. Why SPY is the right instrument and not a proxy: SPY is the instrument the LETF/MOC hedge flow is actually executed against, and it is the most liquid, so the per-trade gross move is not eaten by spread. corpus_concentration was empty in the brief. USEQ holds 4.4% of experiments, under every venue cap.