{ "tested": "2026-11-13", "data_through": "2026-10-09", "standard": [ "A finding counts only if it holds in recent data: 2017 onward by period, the last two periods deciding.", "One event per stock per 63 sessions; events averaged by calendar month; months weighted equally; Newey-West t over months.", "Every situation is defined on information from before the event, and the sign must survive entry at the next close, a same-tier benchmark, and removing names that stopped trading or traded flat.", "A line holds when its last two periods have the same sign with |t| at least 2 and the checks agree; no measurable effect when |t| is under 2 in both; unstable otherwise. Only a line that holds governs." ], "periods": { "event_tests": [ "2017-19", "2020-21", "2022-23", "2024-26" ], "portfolio_tests": [ "2017-20", "2021-23", "2024-26" ] }, "lines": [ { "id": "hurdle.all", "family": "hurdle", "title": "Average liquid stock against the S&P 500", "what": "How the average liquid stock (equal weight, median dollar volume of the prior 63 sessions) did against the S&P 500.", "method": "Every session from 2017, the equal-weight return over the next 63 sessions (log growth) minus the S&P 500's, times four for a year; sessions averaged within the calendar month; Newey-West t over months, lag 3. Liquid as for the event tests; a stopped stock keeps its last close.", "unit": "points a year", "benchmark": "S&P 500", "state": "unstable", "deciding": [ "2021-23", "2024-26" ], "variants_agree": null, "results": [ { "period": "2017-20", "mean": 0.44, "t": 0.09, "median": -2.49, "n": 1007, "months": 48, "stocks_pct_a_year": 14.74, "sp500_pct_a_year": 14.3 }, { "period": "2021-23", "mean": -8.44, "t": -3.13, "median": -5.89, "n": 753, "months": 36, "stocks_pct_a_year": 1.62, "sp500_pct_a_year": 10.06 }, { "period": "2024-26", "mean": -3.71, "t": -1.44, "median": -3.14, "n": 633, "months": 31, "stocks_pct_a_year": 14.11, "sp500_pct_a_year": 17.83 } ], "whole": { "period": "2017-26", "mean": -3.46, "t": -1.44, "median": -3.52, "n": 2393, "months": 115, "stocks_pct_a_year": 10.47, "sp500_pct_a_year": 13.92 } }, { "id": "hurdle.5_20m", "family": "hurdle", "title": "Average $5-20M stock against the S&P 500", "what": "How the average liquid stock of the $5-20M tier (equal weight, median dollar volume of the prior 63 sessions in $5-20M a day) did against the S&P 500.", "method": "Every session from 2017, the equal-weight return over the next 63 sessions (log growth) minus the S&P 500's, times four for a year; sessions averaged within the calendar month; Newey-West t over months, lag 3. Liquid as for the event tests; a stopped stock keeps its last close.", "unit": "points a year", "benchmark": "S&P 500", "state": "unstable", "deciding": [ "2021-23", "2024-26" ], "variants_agree": null, "results": [ { "period": "2017-20", "mean": 1.23, "t": 0.19, "median": -2.66, "n": 1007, "months": 48, "stocks_pct_a_year": 15.53, "sp500_pct_a_year": 14.3 }, { "period": "2021-23", "mean": -11.32, "t": -3.2, "median": -6.95, "n": 753, "months": 36, "stocks_pct_a_year": -1.25, "sp500_pct_a_year": 10.06 }, { "period": "2024-26", "mean": -3.2, "t": -0.81, "median": -1.27, "n": 633, "months": 31, "stocks_pct_a_year": 14.62, "sp500_pct_a_year": 17.83 } ], "whole": { "period": "2017-26", "mean": -3.89, "t": -1.2, "median": -3.9, "n": 2393, "months": 115, "stocks_pct_a_year": 10.03, "sp500_pct_a_year": 13.92 } }, { "id": "hurdle.20_100m", "family": "hurdle", "title": "Average $20-100M stock against the S&P 500", "what": "How the average liquid stock of the $20-100M tier (equal weight, median dollar volume of the prior 63 sessions in $20-100M a day) did against the S&P 500.", "method": "Every session from 2017, the equal-weight return over the next 63 sessions (log growth) minus the S&P 500's, times four for a year; sessions averaged within the calendar month; Newey-West t over months, lag 3. Liquid as for the event tests; a stopped stock keeps its last close.", "unit": "points a year", "benchmark": "S&P 500", "state": "unstable", "deciding": [ "2021-23", "2024-26" ], "variants_agree": null, "results": [ { "period": "2017-20", "mean": -0.59, "t": -0.12, "median": -2.84, "n": 1007, "months": 48, "stocks_pct_a_year": 13.71, "sp500_pct_a_year": 14.3 }, { "period": "2021-23", "mean": -8.26, "t": -3.07, "median": -5.62, "n": 753, "months": 36, "stocks_pct_a_year": 1.81, "sp500_pct_a_year": 10.06 }, { "period": "2024-26", "mean": -5.15, "t": -1.96, "median": -4.33, "n": 633, "months": 31, "stocks_pct_a_year": 12.68, "sp500_pct_a_year": 17.83 } ], "whole": { "period": "2017-26", "mean": -4.22, "t": -1.7, "median": -3.93, "n": 2393, "months": 115, "stocks_pct_a_year": 9.71, "sp500_pct_a_year": 13.92 } }, { "id": "hurdle.100m_1b", "family": "hurdle", "title": "Average $100M-1B stock against the S&P 500", "what": "How the average liquid stock of the $100M-1B tier (equal weight, median dollar volume of the prior 63 sessions in $100M-1B a day) did against the S&P 500.", "method": "Every session from 2017, the equal-weight return over the next 63 sessions (log growth) minus the S&P 500's, times four for a year; sessions averaged within the calendar month; Newey-West t over months, lag 3. Liquid as for the event tests; a stopped stock keeps its last close.", "unit": "points a year", "benchmark": "S&P 500", "state": "unstable", "deciding": [ "2021-23", "2024-26" ], "variants_agree": null, "results": [ { "period": "2017-20", "mean": 0.6, "t": 0.27, "median": -1.57, "n": 1007, "months": 48, "stocks_pct_a_year": 14.9, "sp500_pct_a_year": 14.3 }, { "period": "2021-23", "mean": -5.05, "t": -2.43, "median": -4.08, "n": 753, "months": 36, "stocks_pct_a_year": 5.01, "sp500_pct_a_year": 10.06 }, { "period": "2024-26", "mean": -3.16, "t": -1.44, "median": -2.95, "n": 633, "months": 31, "stocks_pct_a_year": 14.66, "sp500_pct_a_year": 17.83 } ], "whole": { "period": "2017-26", "mean": -2.18, "t": -1.61, "median": -2.35, "n": 2393, "months": 115, "stocks_pct_a_year": 11.74, "sp500_pct_a_year": 13.92 } }, { "id": "hurdle.over_1b", "family": "hurdle", "title": "Average over $1B stock against the S&P 500", "what": "How the average liquid stock of the over $1B tier (equal weight, median dollar volume of the prior 63 sessions in over $1B a day) did against the S&P 500.", "method": "Every session from 2017, the equal-weight return over the next 63 sessions (log growth) minus the S&P 500's, times four for a year; sessions averaged within the calendar month; Newey-West t over months, lag 3. Liquid as for the event tests; a stopped stock keeps its last close.", "unit": "points a year", "benchmark": "S&P 500", "state": "no measurable effect", "deciding": [ "2021-23", "2024-26" ], "variants_agree": null, "results": [ { "period": "2017-20", "mean": 19.05, "t": 8.72, "median": 19.15, "n": 250, "months": 13, "stocks_pct_a_year": 61, "sp500_pct_a_year": 41.95 }, { "period": "2021-23", "mean": -2.78, "t": -0.43, "median": -1.36, "n": 753, "months": 36, "stocks_pct_a_year": 7.29, "sp500_pct_a_year": 10.06 }, { "period": "2024-26", "mean": 7.37, "t": 1.82, "median": 5.64, "n": 633, "months": 31, "stocks_pct_a_year": 25.19, "sp500_pct_a_year": 17.83 } ], "whole": { "period": "2017-26", "mean": 4.7, "t": 1.25, "median": 6.35, "n": 1636, "months": 80, "stocks_pct_a_year": 22.95, "sp500_pct_a_year": 18.25 } }, { "id": "spread.63", "family": "spread", "title": "Spread of 63-session returns across liquid stocks", "what": "The standard deviation of 63-session returns across all liquid stocks, by year: how far apart the best and worst stocks end up, and so how much picking the right ones can be worth.", "method": "Every session, the cross-sectional standard deviation of the next 63 sessions' returns (capped at +1000%, stopped stocks at their last close); sessions averaged by calendar month; Newey-West t, lag 3.", "unit": "% (standard deviation)", "state": "holds", "deciding": [ "2025", "2026" ], "variants_agree": null, "results": [ { "period": "2017", "mean": 15.25, "t": 46.77, "median": 15.01, "n": 251, "months": 12 }, { "period": "2018", "mean": 17.41, "t": 39.53, "median": 17.14, "n": 251, "months": 12 }, { "period": "2019", "mean": 17.69, "t": 30.66, "median": 17.43, "n": 252, "months": 12 }, { "period": "2020", "mean": 32.34, "t": 10.11, "median": 29.77, "n": 253, "months": 12 }, { "period": "2021", "mean": 20.46, "t": 24.79, "median": 19.69, "n": 252, "months": 12 }, { "period": "2022", "mean": 19.87, "t": 69.29, "median": 19.56, "n": 251, "months": 12 }, { "period": "2023", "mean": 20.03, "t": 25.04, "median": 19.12, "n": 250, "months": 12 }, { "period": "2024", "mean": 21.85, "t": 19.52, "median": 20.82, "n": 252, "months": 12 }, { "period": "2025", "mean": 25.93, "t": 18.65, "median": 26.77, "n": 250, "months": 12 }, { "period": "2026", "mean": 27.38, "t": 15.94, "median": 27.16, "n": 131, "months": 7 } ], "whole": { "period": "2017-26", "mean": 21.58, "t": 21.61, "median": 19.74, "n": 2393, "months": 115 } }, { "id": "jump.all.21", "family": "jump", "title": "After a one-day jump, next 21 sessions", "what": "Stocks liquid the day before (any tier) with a one-day move of at least 3 standard deviations of its prior 63 sessions and at least 4% against the S&P 500 (up): their return over the next 21 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price).", "unit": "% over 21 sessions", "benchmark": "average liquid stock", "state": "no measurable effect", "deciding": [ "2022-23", "2024-26" ], "variants_agree": true, "results": [ { "period": "2017-19", "mean": -0.06, "t": -0.36, "median": -0.04, "n": 6216, "months": 36 }, { "period": "2020-21", "mean": -0.42, "t": -0.92, "median": -1.21, "n": 5505, "months": 24 }, { "period": "2022-23", "mean": 0.37, "t": 1.21, "median": 0.51, "n": 5132, "months": 24 }, { "period": "2024-26", "mean": -0.29, "t": -0.89, "median": -0.96, "n": 8691, "months": 33 } ], "whole": { "period": "2017-26", "mean": -0.11, "t": -0.7, "median": -0.45, "n": 25544, "months": 117 }, "checks": { "next_close": [ { "period": "2017-19", "mean": -0.04, "t": -0.23, "median": -0.01, "n": 6216, "months": 36 }, { "period": "2020-21", "mean": -0.27, "t": -0.54, "median": -1.55, "n": 5504, "months": 24 }, { "period": "2022-23", "mean": 0.23, "t": 0.82, "median": 0.38, "n": 5131, "months": 24 }, { "period": "2024-26", "mean": -0.07, "t": -0.25, "median": -0.66, "n": 8687, "months": 33 } ], "same_tier": [ { "period": "2017-19", "mean": -0.03, "t": -0.22, "median": -0.01, "n": 6216, "months": 36 }, { "period": "2020-21", "mean": -0.4, "t": -0.89, "median": -1.29, "n": 5505, "months": 24 }, { "period": "2022-23", "mean": 0.41, "t": 1.36, "median": 0.43, "n": 5132, "months": 24 }, { "period": "2024-26", "mean": -0.33, "t": -1.04, "median": -0.97, "n": 8691, "months": 33 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": -0.06, "t": -0.38, "median": -0.03, "n": 6172, "months": 36 }, { "period": "2020-21", "mean": -0.4, "t": -0.87, "median": -1.21, "n": 5470, "months": 24 }, { "period": "2022-23", "mean": 0.36, "t": 1.17, "median": 0.5, "n": 5113, "months": 24 }, { "period": "2024-26", "mean": -0.29, "t": -0.89, "median": -0.96, "n": 8673, "months": 33 } ] } }, { "id": "jump.all.63", "family": "jump", "title": "After a one-day jump, next 63 sessions", "what": "Stocks liquid the day before (any tier) with a one-day move of at least 3 standard deviations of its prior 63 sessions and at least 4% against the S&P 500 (up): their return over the next 63 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price).", "unit": "% over 63 sessions", "benchmark": "average liquid stock", "state": "no measurable effect", "deciding": [ "2022-23", "2024-26" ], "variants_agree": true, "results": [ { "period": "2017-19", "mean": -0.3, "t": -0.97, "median": -0.36, "n": 6216, "months": 36 }, { "period": "2020-21", "mean": -0.95, "t": -0.89, "median": -4.74, "n": 5505, "months": 24 }, { "period": "2022-23", "mean": -0.21, "t": -0.51, "median": -0.19, "n": 5132, "months": 24 }, { "period": "2024-26", "mean": -0.82, "t": -1.5, "median": -2.9, "n": 8253, "months": 31 } ], "whole": { "period": "2017-26", "mean": -0.56, "t": -1.9, "median": -1.82, "n": 25106, "months": 115 }, "checks": { "next_close": [ { "period": "2017-19", "mean": -0.19, "t": -0.62, "median": -0.2, "n": 6216, "months": 36 }, { "period": "2020-21", "mean": -1.03, "t": -1.29, "median": -4.74, "n": 5504, "months": 24 }, { "period": "2022-23", "mean": -0.35, "t": -0.87, "median": -0.47, "n": 5131, "months": 24 }, { "period": "2024-26", "mean": -0.57, "t": -0.97, "median": -2.52, "n": 8250, "months": 31 } ], "same_tier": [ { "period": "2017-19", "mean": -0.26, "t": -0.9, "median": -0.34, "n": 6216, "months": 36 }, { "period": "2020-21", "mean": -0.95, "t": -0.88, "median": -4.56, "n": 5505, "months": 24 }, { "period": "2022-23", "mean": -0.17, "t": -0.42, "median": -0.22, "n": 5132, "months": 24 }, { "period": "2024-26", "mean": -0.78, "t": -1.46, "median": -2.64, "n": 8253, "months": 31 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": -0.32, "t": -1.02, "median": -0.38, "n": 6151, "months": 36 }, { "period": "2020-21", "mean": -0.92, "t": -0.86, "median": -4.78, "n": 5438, "months": 24 }, { "period": "2022-23", "mean": -0.17, "t": -0.41, "median": -0.17, "n": 5105, "months": 24 }, { "period": "2024-26", "mean": -0.81, "t": -1.47, "median": -2.89, "n": 8234, "months": 31 } ] } }, { "id": "jump.5_20m.21", "family": "jump", "title": "After a one-day jump, $5-20M a day, next 21 sessions", "what": "Stocks liquid the day before ($5-20M a day) with a one-day move of at least 3 standard deviations of its prior 63 sessions and at least 4% against the S&P 500 (up): their return over the next 21 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price).", "unit": "% over 21 sessions", "benchmark": "average liquid stock", "state": "no measurable effect", "deciding": [ "2022-23", "2024-26" ], "variants_agree": false, "results": [ { "period": "2017-19", "mean": -0.21, "t": -0.74, "median": -0.56, "n": 2532, "months": 36 }, { "period": "2020-21", "mean": -0.29, "t": -0.49, "median": -1.61, "n": 2063, "months": 24 }, { "period": "2022-23", "mean": 0.1, "t": 0.29, "median": 0.26, "n": 1973, "months": 24 }, { "period": "2024-26", "mean": -0.67, "t": -0.94, "median": -1.47, "n": 2894, "months": 33 } ], "whole": { "period": "2017-26", "mean": -0.29, "t": -1.11, "median": -0.83, "n": 9462, "months": 117 }, "checks": { "next_close": [ { "period": "2017-19", "mean": -0.22, "t": -0.76, "median": -0.45, "n": 2532, "months": 36 }, { "period": "2020-21", "mean": -0.28, "t": -0.54, "median": -1.8, "n": 2063, "months": 24 }, { "period": "2022-23", "mean": -0.16, "t": -0.47, "median": 0.16, "n": 1973, "months": 24 }, { "period": "2024-26", "mean": -0.43, "t": -0.63, "median": -1.23, "n": 2893, "months": 33 } ], "same_tier": [ { "period": "2017-19", "mean": -0.15, "t": -0.59, "median": -0.59, "n": 2532, "months": 36 }, { "period": "2020-21", "mean": -0.29, "t": -0.59, "median": -1.6, "n": 2063, "months": 24 }, { "period": "2022-23", "mean": 0.34, "t": 1.14, "median": 0.51, "n": 1973, "months": 24 }, { "period": "2024-26", "mean": -0.65, "t": -0.99, "median": -1.49, "n": 2894, "months": 33 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": -0.21, "t": -0.73, "median": -0.6, "n": 2517, "months": 36 }, { "period": "2020-21", "mean": -0.13, "t": -0.2, "median": -1.61, "n": 2050, "months": 24 }, { "period": "2022-23", "mean": 0.08, "t": 0.22, "median": 0.23, "n": 1965, "months": 24 }, { "period": "2024-26", "mean": -0.67, "t": -0.95, "median": -1.48, "n": 2889, "months": 33 } ] } }, { "id": "jump.5_20m.63", "family": "jump", "title": "After a one-day jump, $5-20M a day, next 63 sessions", "what": "Stocks liquid the day before ($5-20M a day) with a one-day move of at least 3 standard deviations of its prior 63 sessions and at least 4% against the S&P 500 (up): their return over the next 63 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price).", "unit": "% over 63 sessions", "benchmark": "average liquid stock", "state": "no measurable effect", "deciding": [ "2022-23", "2024-26" ], "variants_agree": false, "results": [ { "period": "2017-19", "mean": 0.07, "t": 0.16, "median": -0.89, "n": 2532, "months": 36 }, { "period": "2020-21", "mean": 0.15, "t": 0.08, "median": -4.65, "n": 2063, "months": 24 }, { "period": "2022-23", "mean": -0.46, "t": -0.51, "median": -0.92, "n": 1973, "months": 24 }, { "period": "2024-26", "mean": -0.79, "t": -0.58, "median": -3.74, "n": 2769, "months": 31 } ], "whole": { "period": "2017-26", "mean": -0.25, "t": -0.44, "median": -2.41, "n": 9337, "months": 115 }, "checks": { "next_close": [ { "period": "2017-19", "mean": 0.28, "t": 0.58, "median": -0.68, "n": 2532, "months": 36 }, { "period": "2020-21", "mean": 0.19, "t": 0.12, "median": -4.69, "n": 2063, "months": 24 }, { "period": "2022-23", "mean": -0.66, "t": -0.78, "median": -1.4, "n": 1973, "months": 24 }, { "period": "2024-26", "mean": -0.45, "t": -0.34, "median": -2.94, "n": 2768, "months": 31 } ], "same_tier": [ { "period": "2017-19", "mean": 0.23, "t": 0.74, "median": -0.89, "n": 2532, "months": 36 }, { "period": "2020-21", "mean": -0.14, "t": -0.08, "median": -5.22, "n": 2063, "months": 24 }, { "period": "2022-23", "mean": 0.05, "t": 0.07, "median": -0.48, "n": 1973, "months": 24 }, { "period": "2024-26", "mean": -0.99, "t": -0.86, "median": -3.48, "n": 2769, "months": 31 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": 0.04, "t": 0.1, "median": -0.89, "n": 2499, "months": 36 }, { "period": "2020-21", "mean": 0.31, "t": 0.16, "median": -4.69, "n": 2036, "months": 24 }, { "period": "2022-23", "mean": -0.48, "t": -0.54, "median": -1.09, "n": 1963, "months": 24 }, { "period": "2024-26", "mean": -0.79, "t": -0.59, "median": -3.74, "n": 2767, "months": 31 } ] } }, { "id": "jump.20_100m.21", "family": "jump", "title": "After a one-day jump, $20-100M a day, next 21 sessions", "what": "Stocks liquid the day before ($20-100M a day) with a one-day move of at least 3 standard deviations of its prior 63 sessions and at least 4% against the S&P 500 (up): their return over the next 21 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price).", "unit": "% over 21 sessions", "benchmark": "average liquid stock", "state": "no measurable effect", "deciding": [ "2022-23", "2024-26" ], "variants_agree": false, "results": [ { "period": "2017-19", "mean": -0.14, "t": -0.55, "median": 0.21, "n": 2534, "months": 36 }, { "period": "2020-21", "mean": -0.7, "t": -1.39, "median": -1.31, "n": 2197, "months": 24 }, { "period": "2022-23", "mean": 0.47, "t": 0.95, "median": 0.66, "n": 1966, "months": 24 }, { "period": "2024-26", "mean": -0.22, "t": -0.89, "median": -0.69, "n": 3337, "months": 33 } ], "whole": { "period": "2017-26", "mean": -0.15, "t": -0.83, "median": -0.25, "n": 10034, "months": 117 }, "checks": { "next_close": [ { "period": "2017-19", "mean": -0.04, "t": -0.17, "median": 0.22, "n": 2533, "months": 36 }, { "period": "2020-21", "mean": -0.78, "t": -1.63, "median": -1.69, "n": 2197, "months": 24 }, { "period": "2022-23", "mean": 0.38, "t": 0.75, "median": 0.52, "n": 1965, "months": 24 }, { "period": "2024-26", "mean": 0.11, "t": 0.42, "median": -0.39, "n": 3335, "months": 33 } ], "same_tier": [ { "period": "2017-19", "mean": -0.09, "t": -0.37, "median": 0.31, "n": 2534, "months": 36 }, { "period": "2020-21", "mean": -0.62, "t": -1.24, "median": -1.18, "n": 2197, "months": 24 }, { "period": "2022-23", "mean": 0.42, "t": 0.87, "median": 0.5, "n": 1966, "months": 24 }, { "period": "2024-26", "mean": -0.07, "t": -0.29, "median": -0.49, "n": 3337, "months": 33 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": -0.14, "t": -0.55, "median": 0.23, "n": 2516, "months": 36 }, { "period": "2020-21", "mean": -0.64, "t": -1.22, "median": -1.3, "n": 2176, "months": 24 }, { "period": "2022-23", "mean": 0.46, "t": 0.91, "median": 0.67, "n": 1958, "months": 24 }, { "period": "2024-26", "mean": -0.22, "t": -0.89, "median": -0.66, "n": 3329, "months": 33 } ] } }, { "id": "jump.20_100m.63", "family": "jump", "title": "After a one-day jump, $20-100M a day, next 63 sessions", "what": "Stocks liquid the day before ($20-100M a day) with a one-day move of at least 3 standard deviations of its prior 63 sessions and at least 4% against the S&P 500 (up): their return over the next 63 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price).", "unit": "% over 63 sessions", "benchmark": "average liquid stock", "state": "unstable", "deciding": [ "2022-23", "2024-26" ], "variants_agree": true, "results": [ { "period": "2017-19", "mean": -0.89, "t": -1.69, "median": -0.16, "n": 2534, "months": 36 }, { "period": "2020-21", "mean": -1.05, "t": -0.75, "median": -4.4, "n": 2197, "months": 24 }, { "period": "2022-23", "mean": -0.13, "t": -0.27, "median": -0.56, "n": 1966, "months": 24 }, { "period": "2024-26", "mean": -0.85, "t": -2.07, "median": -2.66, "n": 3146, "months": 31 } ], "whole": { "period": "2017-26", "mean": -0.75, "t": -2.02, "median": -1.73, "n": 9843, "months": 115 }, "checks": { "next_close": [ { "period": "2017-19", "mean": -0.74, "t": -1.52, "median": -0.12, "n": 2533, "months": 36 }, { "period": "2020-21", "mean": -1.4, "t": -1.24, "median": -4.83, "n": 2197, "months": 24 }, { "period": "2022-23", "mean": -0.37, "t": -0.84, "median": -0.78, "n": 1965, "months": 24 }, { "period": "2024-26", "mean": -0.66, "t": -1.54, "median": -2.76, "n": 3144, "months": 31 } ], "same_tier": [ { "period": "2017-19", "mean": -0.67, "t": -1.38, "median": 0.02, "n": 2534, "months": 36 }, { "period": "2020-21", "mean": -1.06, "t": -0.82, "median": -4.3, "n": 2197, "months": 24 }, { "period": "2022-23", "mean": -0.14, "t": -0.24, "median": -0.48, "n": 1966, "months": 24 }, { "period": "2024-26", "mean": -0.45, "t": -1.24, "median": -2.19, "n": 3146, "months": 31 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": -0.91, "t": -1.7, "median": -0.17, "n": 2512, "months": 36 }, { "period": "2020-21", "mean": -0.97, "t": -0.7, "median": -4.4, "n": 2163, "months": 24 }, { "period": "2022-23", "mean": -0.13, "t": -0.26, "median": -0.56, "n": 1953, "months": 24 }, { "period": "2024-26", "mean": -0.81, "t": -1.96, "median": -2.62, "n": 3137, "months": 31 } ] } }, { "id": "jump.100m_1b.21", "family": "jump", "title": "After a one-day jump, $100M-1B a day, next 21 sessions", "what": "Stocks liquid the day before ($100M-1B a day) with a one-day move of at least 3 standard deviations of its prior 63 sessions and at least 4% against the S&P 500 (up): their return over the next 21 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price).", "unit": "% over 21 sessions", "benchmark": "average liquid stock", "state": "unstable", "deciding": [ "2022-23", "2024-26" ], "variants_agree": true, "results": [ { "period": "2017-19", "mean": 0.42, "t": 1.41, "median": 0.19, "n": 1207, "months": 36 }, { "period": "2020-21", "mean": 0.32, "t": 0.34, "median": -0.96, "n": 1306, "months": 24 }, { "period": "2022-23", "mean": 1.02, "t": 2.66, "median": 0.67, "n": 1196, "months": 24 }, { "period": "2024-26", "mean": -0.56, "t": -1.39, "median": -1.08, "n": 2420, "months": 33 } ], "whole": { "period": "2017-26", "mean": 0.25, "t": 0.94, "median": -0.34, "n": 6129, "months": 117 }, "checks": { "next_close": [ { "period": "2017-19", "mean": 0.33, "t": 1.15, "median": 0.29, "n": 1207, "months": 36 }, { "period": "2020-21", "mean": 0.97, "t": 0.68, "median": -1.07, "n": 1305, "months": 24 }, { "period": "2022-23", "mean": 0.96, "t": 2.69, "median": 0.61, "n": 1196, "months": 24 }, { "period": "2024-26", "mean": -0.47, "t": -1.32, "median": -0.69, "n": 2419, "months": 33 } ], "same_tier": [ { "period": "2017-19", "mean": 0.29, "t": 1.2, "median": 0.08, "n": 1207, "months": 36 }, { "period": "2020-21", "mean": 0.41, "t": 0.44, "median": -1.1, "n": 1306, "months": 24 }, { "period": "2022-23", "mean": 0.79, "t": 2.09, "median": 0.32, "n": 1196, "months": 24 }, { "period": "2024-26", "mean": -0.66, "t": -1.67, "median": -1.1, "n": 2420, "months": 33 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": 0.4, "t": 1.37, "median": 0.19, "n": 1196, "months": 36 }, { "period": "2020-21", "mean": 0.32, "t": 0.35, "median": -0.92, "n": 1300, "months": 24 }, { "period": "2022-23", "mean": 1.06, "t": 2.74, "median": 0.67, "n": 1192, "months": 24 }, { "period": "2024-26", "mean": -0.56, "t": -1.37, "median": -1.08, "n": 2414, "months": 33 } ] } }, { "id": "jump.100m_1b.63", "family": "jump", "title": "After a one-day jump, $100M-1B a day, next 63 sessions", "what": "Stocks liquid the day before ($100M-1B a day) with a one-day move of at least 3 standard deviations of its prior 63 sessions and at least 4% against the S&P 500 (up): their return over the next 63 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price).", "unit": "% over 63 sessions", "benchmark": "average liquid stock", "state": "unstable", "deciding": [ "2022-23", "2024-26" ], "variants_agree": true, "results": [ { "period": "2017-19", "mean": -0.07, "t": -0.15, "median": 0.28, "n": 1207, "months": 36 }, { "period": "2020-21", "mean": -1.92, "t": -1.26, "median": -5.46, "n": 1306, "months": 24 }, { "period": "2022-23", "mean": 1.32, "t": 2.41, "median": 0.97, "n": 1196, "months": 24 }, { "period": "2024-26", "mean": -0.64, "t": -0.86, "median": -2.19, "n": 2292, "months": 31 } ], "whole": { "period": "2017-26", "mean": -0.32, "t": -0.71, "median": -1.32, "n": 6001, "months": 115 }, "checks": { "next_close": [ { "period": "2017-19", "mean": -0.13, "t": -0.25, "median": 0.12, "n": 1207, "months": 36 }, { "period": "2020-21", "mean": -1.9, "t": -1.31, "median": -5.04, "n": 1305, "months": 24 }, { "period": "2022-23", "mean": 1.31, "t": 2.25, "median": 1.11, "n": 1196, "months": 24 }, { "period": "2024-26", "mean": -0.36, "t": -0.46, "median": -1.75, "n": 2292, "months": 31 } ], "same_tier": [ { "period": "2017-19", "mean": -0.59, "t": -1.26, "median": -0.37, "n": 1207, "months": 36 }, { "period": "2020-21", "mean": -1.24, "t": -0.77, "median": -4.64, "n": 1306, "months": 24 }, { "period": "2022-23", "mean": 0.69, "t": 1.31, "median": 0.76, "n": 1196, "months": 24 }, { "period": "2024-26", "mean": -0.76, "t": -1.11, "median": -2.27, "n": 2292, "months": 31 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": -0.1, "t": -0.2, "median": 0.3, "n": 1196, "months": 36 }, { "period": "2020-21", "mean": -1.87, "t": -1.22, "median": -5.45, "n": 1293, "months": 24 }, { "period": "2022-23", "mean": 1.57, "t": 3.2, "median": 1, "n": 1191, "months": 24 }, { "period": "2024-26", "mean": -0.64, "t": -0.86, "median": -2.2, "n": 2283, "months": 31 } ] } }, { "id": "jump.over_1b.21", "family": "jump", "title": "After a one-day jump, over $1B a day, next 21 sessions", "what": "Stocks liquid the day before (over $1B a day) with a one-day move of at least 3 standard deviations of its prior 63 sessions and at least 4% against the S&P 500 (up): their return over the next 21 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price).", "unit": "% over 21 sessions", "benchmark": "average liquid stock", "state": "unstable", "deciding": [ "2022-23", "2024-26" ], "variants_agree": true, "results": [ { "period": "2017-19", "mean": 2.2, "t": 1.96, "median": 2.62, "n": 43, "months": 23 }, { "period": "2020-21", "mean": -1.86, "t": -1.07, "median": -1.45, "n": 95, "months": 22 }, { "period": "2022-23", "mean": 1.22, "t": 1.14, "median": -0.19, "n": 80, "months": 22 }, { "period": "2024-26", "mean": 2.5, "t": 2.18, "median": 1.94, "n": 221, "months": 33 } ], "whole": { "period": "2017-26", "mean": 1.19, "t": 1.72, "median": 0.68, "n": 439, "months": 100 }, "checks": { "next_close": [ { "period": "2017-19", "mean": 2.14, "t": 1.88, "median": 1.72, "n": 43, "months": 23 }, { "period": "2020-21", "mean": -0.75, "t": -0.47, "median": -0.75, "n": 95, "months": 22 }, { "period": "2022-23", "mean": 0.69, "t": 0.6, "median": -0.01, "n": 80, "months": 22 }, { "period": "2024-26", "mean": 2.13, "t": 1.8, "median": 1.79, "n": 221, "months": 33 } ], "same_tier": [ { "period": "2017-19", "mean": 1.18, "t": 1.59, "median": 1.02, "n": 43, "months": 23 }, { "period": "2020-21", "mean": -2.02, "t": -1.51, "median": -2.23, "n": 95, "months": 22 }, { "period": "2022-23", "mean": 1.13, "t": 1.02, "median": 0.33, "n": 80, "months": 22 }, { "period": "2024-26", "mean": 1.29, "t": 1.43, "median": 1.02, "n": 221, "months": 33 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": 2.2, "t": 1.96, "median": 2.62, "n": 43, "months": 23 }, { "period": "2020-21", "mean": -1.86, "t": -1.07, "median": -1.45, "n": 95, "months": 22 }, { "period": "2022-23", "mean": 1.22, "t": 1.14, "median": -0.19, "n": 80, "months": 22 }, { "period": "2024-26", "mean": 2.5, "t": 2.18, "median": 1.94, "n": 221, "months": 33 } ] } }, { "id": "jump.over_1b.63", "family": "jump", "title": "After a one-day jump, over $1B a day, next 63 sessions", "what": "Stocks liquid the day before (over $1B a day) with a one-day move of at least 3 standard deviations of its prior 63 sessions and at least 4% against the S&P 500 (up): their return over the next 63 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price).", "unit": "% over 63 sessions", "benchmark": "average liquid stock", "state": "unstable", "deciding": [ "2022-23", "2024-26" ], "variants_agree": true, "results": [ { "period": "2017-19", "mean": 5.58, "t": 1.41, "median": 3.04, "n": 43, "months": 23 }, { "period": "2020-21", "mean": -1.02, "t": -0.27, "median": -6.25, "n": 95, "months": 22 }, { "period": "2022-23", "mean": 2.5, "t": 0.85, "median": 0.75, "n": 80, "months": 22 }, { "period": "2024-26", "mean": 6.07, "t": 3.22, "median": 0.21, "n": 203, "months": 31 } ], "whole": { "period": "2017-26", "mean": 3.56, "t": 2.07, "median": 0.44, "n": 421, "months": 98 }, "checks": { "next_close": [ { "period": "2017-19", "mean": 5.23, "t": 1.43, "median": 3.69, "n": 43, "months": 23 }, { "period": "2020-21", "mean": -0.97, "t": -0.27, "median": -5.19, "n": 95, "months": 22 }, { "period": "2022-23", "mean": 2.81, "t": 0.87, "median": 1.5, "n": 80, "months": 22 }, { "period": "2024-26", "mean": 5.98, "t": 3.17, "median": -1.23, "n": 203, "months": 31 } ], "same_tier": [ { "period": "2017-19", "mean": 2.37, "t": 0.9, "median": 0.63, "n": 43, "months": 23 }, { "period": "2020-21", "mean": -0.87, "t": -0.38, "median": -5.49, "n": 95, "months": 22 }, { "period": "2022-23", "mean": 0.14, "t": 0.08, "median": -1.45, "n": 80, "months": 22 }, { "period": "2024-26", "mean": 3.17, "t": 2.03, "median": -1.1, "n": 203, "months": 31 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": 5.58, "t": 1.41, "median": 3.04, "n": 43, "months": 23 }, { "period": "2020-21", "mean": -1.02, "t": -0.27, "median": -6.25, "n": 95, "months": 22 }, { "period": "2022-23", "mean": 2.5, "t": 0.85, "median": 0.75, "n": 80, "months": 22 }, { "period": "2024-26", "mean": 6.07, "t": 3.22, "median": 0.21, "n": 203, "months": 31 } ] } }, { "id": "drop.all.21", "family": "drop", "title": "After a one-day drop, next 21 sessions", "what": "Stocks liquid the day before (any tier) with a one-day move of at least 3 standard deviations of its prior 63 sessions and at least 4% against the S&P 500 (down): their return over the next 21 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price).", "unit": "% over 21 sessions", "benchmark": "average liquid stock", "state": "unstable", "deciding": [ "2022-23", "2024-26" ], "variants_agree": true, "results": [ { "period": "2017-19", "mean": 0.15, "t": 0.46, "median": -0.26, "n": 6203, "months": 36 }, { "period": "2020-21", "mean": -0.01, "t": -0.03, "median": -0.82, "n": 4675, "months": 24 }, { "period": "2022-23", "mean": 0.27, "t": 0.99, "median": -0.07, "n": 4988, "months": 24 }, { "period": "2024-26", "mean": 0.61, "t": 3.21, "median": -0.3, "n": 7829, "months": 33 } ], "whole": { "period": "2017-26", "mean": 0.27, "t": 1.88, "median": -0.31, "n": 23695, "months": 117 }, "checks": { "next_close": [ { "period": "2017-19", "mean": 0.27, "t": 0.91, "median": -0.25, "n": 6197, "months": 36 }, { "period": "2020-21", "mean": -0.05, "t": -0.16, "median": -0.63, "n": 4673, "months": 24 }, { "period": "2022-23", "mean": 0.23, "t": 0.81, "median": -0.12, "n": 4986, "months": 24 }, { "period": "2024-26", "mean": 0.38, "t": 2, "median": -0.52, "n": 7824, "months": 33 } ], "same_tier": [ { "period": "2017-19", "mean": 0.15, "t": 0.49, "median": -0.38, "n": 6203, "months": 36 }, { "period": "2020-21", "mean": 0.02, "t": 0.05, "median": -0.81, "n": 4675, "months": 24 }, { "period": "2022-23", "mean": 0.3, "t": 1.1, "median": -0.01, "n": 4988, "months": 24 }, { "period": "2024-26", "mean": 0.58, "t": 3.12, "median": -0.27, "n": 7829, "months": 33 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": 0.17, "t": 0.53, "median": -0.24, "n": 6178, "months": 36 }, { "period": "2020-21", "mean": -0.02, "t": -0.06, "median": -0.82, "n": 4662, "months": 24 }, { "period": "2022-23", "mean": 0.28, "t": 1.02, "median": -0.07, "n": 4980, "months": 24 }, { "period": "2024-26", "mean": 0.61, "t": 3.2, "median": -0.3, "n": 7821, "months": 33 } ] } }, { "id": "drop.all.63", "family": "drop", "title": "After a one-day drop, next 63 sessions", "what": "Stocks liquid the day before (any tier) with a one-day move of at least 3 standard deviations of its prior 63 sessions and at least 4% against the S&P 500 (down): their return over the next 63 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price).", "unit": "% over 63 sessions", "benchmark": "average liquid stock", "state": "no measurable effect", "deciding": [ "2022-23", "2024-26" ], "variants_agree": true, "results": [ { "period": "2017-19", "mean": 0.23, "t": 0.55, "median": -0.49, "n": 6203, "months": 36 }, { "period": "2020-21", "mean": -1.21, "t": -1.42, "median": -3.21, "n": 4675, "months": 24 }, { "period": "2022-23", "mean": 0.32, "t": 0.45, "median": -0.35, "n": 4988, "months": 24 }, { "period": "2024-26", "mean": 0.47, "t": 0.96, "median": -1.71, "n": 7431, "months": 31 } ], "whole": { "period": "2017-26", "mean": 0.01, "t": 0.04, "median": -1.2, "n": 23297, "months": 115 }, "checks": { "next_close": [ { "period": "2017-19", "mean": 0.3, "t": 0.72, "median": -0.33, "n": 6197, "months": 36 }, { "period": "2020-21", "mean": -1.17, "t": -1.55, "median": -3.11, "n": 4673, "months": 24 }, { "period": "2022-23", "mean": 0.21, "t": 0.31, "median": -0.48, "n": 4986, "months": 24 }, { "period": "2024-26", "mean": 0.38, "t": 0.79, "median": -1.83, "n": 7429, "months": 31 } ], "same_tier": [ { "period": "2017-19", "mean": 0.28, "t": 0.65, "median": -0.48, "n": 6203, "months": 36 }, { "period": "2020-21", "mean": -1.19, "t": -1.47, "median": -3, "n": 4675, "months": 24 }, { "period": "2022-23", "mean": 0.33, "t": 0.47, "median": -0.38, "n": 4988, "months": 24 }, { "period": "2024-26", "mean": 0.44, "t": 0.91, "median": -1.7, "n": 7431, "months": 31 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": 0.21, "t": 0.49, "median": -0.48, "n": 6169, "months": 36 }, { "period": "2020-21", "mean": -1.25, "t": -1.48, "median": -3.23, "n": 4644, "months": 24 }, { "period": "2022-23", "mean": 0.31, "t": 0.44, "median": -0.36, "n": 4971, "months": 24 }, { "period": "2024-26", "mean": 0.47, "t": 0.97, "median": -1.71, "n": 7418, "months": 31 } ] } }, { "id": "drop.5_20m.21", "family": "drop", "title": "After a one-day drop, $5-20M a day, next 21 sessions", "what": "Stocks liquid the day before ($5-20M a day) with a one-day move of at least 3 standard deviations of its prior 63 sessions and at least 4% against the S&P 500 (down): their return over the next 21 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price).", "unit": "% over 21 sessions", "benchmark": "average liquid stock", "state": "no measurable effect", "deciding": [ "2022-23", "2024-26" ], "variants_agree": false, "results": [ { "period": "2017-19", "mean": -0.36, "t": -1.14, "median": -0.44, "n": 2364, "months": 36 }, { "period": "2020-21", "mean": -0.11, "t": -0.17, "median": -0.42, "n": 1588, "months": 24 }, { "period": "2022-23", "mean": -0.05, "t": -0.12, "median": -0.42, "n": 1780, "months": 24 }, { "period": "2024-26", "mean": 1.11, "t": 1.88, "median": -0.1, "n": 2359, "months": 33 } ], "whole": { "period": "2017-26", "mean": 0.17, "t": 0.63, "median": -0.36, "n": 8091, "months": 117 }, "checks": { "next_close": [ { "period": "2017-19", "mean": -0.12, "t": -0.4, "median": -0.47, "n": 2362, "months": 36 }, { "period": "2020-21", "mean": -0.6, "t": -0.74, "median": -0.4, "n": 1587, "months": 24 }, { "period": "2022-23", "mean": -0.09, "t": -0.21, "median": -0.35, "n": 1780, "months": 24 }, { "period": "2024-26", "mean": 1.11, "t": 1.94, "median": -0.33, "n": 2359, "months": 33 } ], "same_tier": [ { "period": "2017-19", "mean": -0.34, "t": -1.14, "median": -0.45, "n": 2364, "months": 36 }, { "period": "2020-21", "mean": -0.22, "t": -0.32, "median": -0.05, "n": 1588, "months": 24 }, { "period": "2022-23", "mean": 0.18, "t": 0.39, "median": 0.03, "n": 1780, "months": 24 }, { "period": "2024-26", "mean": 1.09, "t": 2.09, "median": -0.06, "n": 2359, "months": 33 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": -0.34, "t": -1.07, "median": -0.42, "n": 2355, "months": 36 }, { "period": "2020-21", "mean": -0.1, "t": -0.16, "median": -0.44, "n": 1585, "months": 24 }, { "period": "2022-23", "mean": -0.05, "t": -0.12, "median": -0.42, "n": 1780, "months": 24 }, { "period": "2024-26", "mean": 1.11, "t": 1.88, "median": -0.1, "n": 2359, "months": 33 } ] } }, { "id": "drop.5_20m.63", "family": "drop", "title": "After a one-day drop, $5-20M a day, next 63 sessions", "what": "Stocks liquid the day before ($5-20M a day) with a one-day move of at least 3 standard deviations of its prior 63 sessions and at least 4% against the S&P 500 (down): their return over the next 63 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price).", "unit": "% over 63 sessions", "benchmark": "average liquid stock", "state": "no measurable effect", "deciding": [ "2022-23", "2024-26" ], "variants_agree": false, "results": [ { "period": "2017-19", "mean": 0.2, "t": 0.29, "median": -0.86, "n": 2364, "months": 36 }, { "period": "2020-21", "mean": -2.82, "t": -1.67, "median": -2.94, "n": 1588, "months": 24 }, { "period": "2022-23", "mean": -0.26, "t": -0.28, "median": -0.8, "n": 1780, "months": 24 }, { "period": "2024-26", "mean": 2.14, "t": 1.43, "median": -0.47, "n": 2252, "months": 31 } ], "whole": { "period": "2017-26", "mean": -0.01, "t": -0.01, "median": -1.14, "n": 7984, "months": 115 }, "checks": { "next_close": [ { "period": "2017-19", "mean": 0.36, "t": 0.53, "median": -0.75, "n": 2362, "months": 36 }, { "period": "2020-21", "mean": -2.6, "t": -1.68, "median": -2.88, "n": 1587, "months": 24 }, { "period": "2022-23", "mean": -0.34, "t": -0.37, "median": -1.17, "n": 1780, "months": 24 }, { "period": "2024-26", "mean": 2.36, "t": 1.63, "median": -0.87, "n": 2251, "months": 31 } ], "same_tier": [ { "period": "2017-19", "mean": 0.32, "t": 0.51, "median": -0.8, "n": 2364, "months": 36 }, { "period": "2020-21", "mean": -3.28, "t": -1.77, "median": -2.95, "n": 1588, "months": 24 }, { "period": "2022-23", "mean": 0.21, "t": 0.26, "median": -0.69, "n": 1780, "months": 24 }, { "period": "2024-26", "mean": 1.92, "t": 1.47, "median": -0.51, "n": 2252, "months": 31 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": 0.2, "t": 0.29, "median": -0.83, "n": 2351, "months": 36 }, { "period": "2020-21", "mean": -2.84, "t": -1.69, "median": -3.02, "n": 1580, "months": 24 }, { "period": "2022-23", "mean": -0.27, "t": -0.28, "median": -0.8, "n": 1778, "months": 24 }, { "period": "2024-26", "mean": 2.14, "t": 1.43, "median": -0.44, "n": 2251, "months": 31 } ] } }, { "id": "drop.20_100m.21", "family": "drop", "title": "After a one-day drop, $20-100M a day, next 21 sessions", "what": "Stocks liquid the day before ($20-100M a day) with a one-day move of at least 3 standard deviations of its prior 63 sessions and at least 4% against the S&P 500 (down): their return over the next 21 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price).", "unit": "% over 21 sessions", "benchmark": "average liquid stock", "state": "no measurable effect", "deciding": [ "2022-23", "2024-26" ], "variants_agree": false, "results": [ { "period": "2017-19", "mean": 0.57, "t": 0.86, "median": -0.3, "n": 2590, "months": 36 }, { "period": "2020-21", "mean": -0.24, "t": -0.62, "median": -1.41, "n": 1932, "months": 24 }, { "period": "2022-23", "mean": 0.16, "t": 0.53, "median": -0.21, "n": 1905, "months": 24 }, { "period": "2024-26", "mean": 0.21, "t": 0.8, "median": -0.34, "n": 3053, "months": 33 } ], "whole": { "period": "2017-26", "mean": 0.22, "t": 0.91, "median": -0.42, "n": 9480, "months": 117 }, "checks": { "next_close": [ { "period": "2017-19", "mean": 0.56, "t": 0.87, "median": -0.44, "n": 2586, "months": 36 }, { "period": "2020-21", "mean": 0, "t": -0.01, "median": -1.17, "n": 1931, "months": 24 }, { "period": "2022-23", "mean": 0.12, "t": 0.43, "median": -0.41, "n": 1905, "months": 24 }, { "period": "2024-26", "mean": -0.25, "t": -1.09, "median": -0.81, "n": 3050, "months": 33 } ], "same_tier": [ { "period": "2017-19", "mean": 0.62, "t": 0.95, "median": -0.31, "n": 2590, "months": 36 }, { "period": "2020-21", "mean": -0.15, "t": -0.41, "median": -1.11, "n": 1932, "months": 24 }, { "period": "2022-23", "mean": 0.09, "t": 0.31, "median": -0.29, "n": 1905, "months": 24 }, { "period": "2024-26", "mean": 0.33, "t": 1.35, "median": -0.22, "n": 3053, "months": 33 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": 0.59, "t": 0.89, "median": -0.27, "n": 2578, "months": 36 }, { "period": "2020-21", "mean": -0.24, "t": -0.58, "median": -1.41, "n": 1925, "months": 24 }, { "period": "2022-23", "mean": 0.16, "t": 0.53, "median": -0.21, "n": 1901, "months": 24 }, { "period": "2024-26", "mean": 0.22, "t": 0.81, "median": -0.34, "n": 3050, "months": 33 } ] } }, { "id": "drop.20_100m.63", "family": "drop", "title": "After a one-day drop, $20-100M a day, next 63 sessions", "what": "Stocks liquid the day before ($20-100M a day) with a one-day move of at least 3 standard deviations of its prior 63 sessions and at least 4% against the S&P 500 (down): their return over the next 63 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price).", "unit": "% over 63 sessions", "benchmark": "average liquid stock", "state": "no measurable effect", "deciding": [ "2022-23", "2024-26" ], "variants_agree": true, "results": [ { "period": "2017-19", "mean": 0.28, "t": 0.39, "median": -0.33, "n": 2590, "months": 36 }, { "period": "2020-21", "mean": -0.34, "t": -0.44, "median": -4.06, "n": 1932, "months": 24 }, { "period": "2022-23", "mean": 0.58, "t": 0.8, "median": -0.73, "n": 1905, "months": 24 }, { "period": "2024-26", "mean": -0.89, "t": -1.83, "median": -2.48, "n": 2897, "months": 31 } ], "whole": { "period": "2017-26", "mean": -0.1, "t": -0.3, "median": -1.61, "n": 9324, "months": 115 }, "checks": { "next_close": [ { "period": "2017-19", "mean": 0.2, "t": 0.3, "median": -0.38, "n": 2586, "months": 36 }, { "period": "2020-21", "mean": -0.45, "t": -0.69, "median": -3.34, "n": 1931, "months": 24 }, { "period": "2022-23", "mean": 0.44, "t": 0.66, "median": -0.68, "n": 1905, "months": 24 }, { "period": "2024-26", "mean": -1.3, "t": -2.93, "median": -2.97, "n": 2897, "months": 31 } ], "same_tier": [ { "period": "2017-19", "mean": 0.51, "t": 0.72, "median": -0.28, "n": 2590, "months": 36 }, { "period": "2020-21", "mean": -0.34, "t": -0.48, "median": -3.94, "n": 1932, "months": 24 }, { "period": "2022-23", "mean": 0.55, "t": 0.7, "median": -0.71, "n": 1905, "months": 24 }, { "period": "2024-26", "mean": -0.52, "t": -1.03, "median": -2.03, "n": 2897, "months": 31 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": 0.23, "t": 0.32, "median": -0.33, "n": 2576, "months": 36 }, { "period": "2020-21", "mean": -0.43, "t": -0.56, "median": -4.1, "n": 1917, "months": 24 }, { "period": "2022-23", "mean": 0.54, "t": 0.75, "median": -0.74, "n": 1896, "months": 24 }, { "period": "2024-26", "mean": -0.89, "t": -1.81, "median": -2.48, "n": 2892, "months": 31 } ] } }, { "id": "drop.100m_1b.21", "family": "drop", "title": "After a one-day drop, $100M-1B a day, next 21 sessions", "what": "Stocks liquid the day before ($100M-1B a day) with a one-day move of at least 3 standard deviations of its prior 63 sessions and at least 4% against the S&P 500 (down): their return over the next 21 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price).", "unit": "% over 21 sessions", "benchmark": "average liquid stock", "state": "unstable", "deciding": [ "2022-23", "2024-26" ], "variants_agree": true, "results": [ { "period": "2017-19", "mean": 0.23, "t": 0.87, "median": -0.13, "n": 1293, "months": 36 }, { "period": "2020-21", "mean": 0.06, "t": 0.09, "median": -0.92, "n": 1201, "months": 24 }, { "period": "2022-23", "mean": 1.16, "t": 2.55, "median": 0.83, "n": 1304, "months": 24 }, { "period": "2024-26", "mean": 0.38, "t": 1.16, "median": -0.38, "n": 2316, "months": 33 } ], "whole": { "period": "2017-26", "mean": 0.43, "t": 1.99, "median": -0.18, "n": 6114, "months": 117 }, "checks": { "next_close": [ { "period": "2017-19", "mean": 0.29, "t": 1.37, "median": 0.23, "n": 1293, "months": 36 }, { "period": "2020-21", "mean": 0.25, "t": 0.35, "median": -0.43, "n": 1201, "months": 24 }, { "period": "2022-23", "mean": 1.03, "t": 2.08, "median": 0.66, "n": 1302, "months": 24 }, { "period": "2024-26", "mean": 0.22, "t": 0.68, "median": -0.43, "n": 2314, "months": 33 } ], "same_tier": [ { "period": "2017-19", "mean": 0.12, "t": 0.43, "median": -0.37, "n": 1293, "months": 36 }, { "period": "2020-21", "mean": 0.09, "t": 0.14, "median": -1.34, "n": 1201, "months": 24 }, { "period": "2022-23", "mean": 0.91, "t": 1.95, "median": 0.35, "n": 1304, "months": 24 }, { "period": "2024-26", "mean": 0.28, "t": 1.03, "median": -0.43, "n": 2316, "months": 33 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": 0.28, "t": 0.97, "median": -0.12, "n": 1289, "months": 36 }, { "period": "2020-21", "mean": 0.07, "t": 0.1, "median": -0.92, "n": 1198, "months": 24 }, { "period": "2022-23", "mean": 1.2, "t": 2.66, "median": 0.88, "n": 1300, "months": 24 }, { "period": "2024-26", "mean": 0.38, "t": 1.14, "median": -0.38, "n": 2311, "months": 33 } ] } }, { "id": "drop.100m_1b.63", "family": "drop", "title": "After a one-day drop, $100M-1B a day, next 63 sessions", "what": "Stocks liquid the day before ($100M-1B a day) with a one-day move of at least 3 standard deviations of its prior 63 sessions and at least 4% against the S&P 500 (down): their return over the next 63 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price).", "unit": "% over 63 sessions", "benchmark": "average liquid stock", "state": "unstable", "deciding": [ "2022-23", "2024-26" ], "variants_agree": true, "results": [ { "period": "2017-19", "mean": 0.23, "t": 0.38, "median": 0.03, "n": 1293, "months": 36 }, { "period": "2020-21", "mean": 0.48, "t": 0.2, "median": -3.02, "n": 1201, "months": 24 }, { "period": "2022-23", "mean": 1.15, "t": 2.44, "median": 0.64, "n": 1304, "months": 24 }, { "period": "2024-26", "mean": 0.26, "t": 0.47, "median": -1.55, "n": 2187, "months": 31 } ], "whole": { "period": "2017-26", "mean": 0.48, "t": 0.85, "median": -0.85, "n": 5985, "months": 115 }, "checks": { "next_close": [ { "period": "2017-19", "mean": 0.33, "t": 0.59, "median": 0.4, "n": 1293, "months": 36 }, { "period": "2020-21", "mean": 0.25, "t": 0.11, "median": -3.31, "n": 1201, "months": 24 }, { "period": "2022-23", "mean": 0.99, "t": 1.73, "median": 0.56, "n": 1302, "months": 24 }, { "period": "2024-26", "mean": 0.29, "t": 0.48, "median": -1.71, "n": 2186, "months": 31 } ], "same_tier": [ { "period": "2017-19", "mean": -0.28, "t": -0.48, "median": -0.39, "n": 1293, "months": 36 }, { "period": "2020-21", "mean": 1.2, "t": 0.57, "median": -2.21, "n": 1201, "months": 24 }, { "period": "2022-23", "mean": 0.52, "t": 0.9, "median": 0.06, "n": 1304, "months": 24 }, { "period": "2024-26", "mean": 0.16, "t": 0.29, "median": -1.9, "n": 2187, "months": 31 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": 0.25, "t": 0.4, "median": 0.06, "n": 1286, "months": 36 }, { "period": "2020-21", "mean": 0.47, "t": 0.19, "median": -3.01, "n": 1192, "months": 24 }, { "period": "2022-23", "mean": 1.23, "t": 2.7, "median": 0.66, "n": 1298, "months": 24 }, { "period": "2024-26", "mean": 0.26, "t": 0.48, "median": -1.55, "n": 2180, "months": 31 } ] } }, { "id": "drop.over_1b.21", "family": "drop", "title": "After a one-day drop, over $1B a day, next 21 sessions", "what": "Stocks liquid the day before (over $1B a day) with a one-day move of at least 3 standard deviations of its prior 63 sessions and at least 4% against the S&P 500 (down): their return over the next 21 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price).", "unit": "% over 21 sessions", "benchmark": "average liquid stock", "state": "no measurable effect", "deciding": [ "2022-23", "2024-26" ], "variants_agree": true, "results": [ { "period": "2017-19", "mean": 2.65, "t": 1.88, "median": 1.3, "n": 40, "months": 22 }, { "period": "2020-21", "mean": -1.94, "t": -1.17, "median": -0.27, "n": 76, "months": 20 }, { "period": "2022-23", "mean": 1.82, "t": 1.14, "median": 0.61, "n": 73, "months": 22 }, { "period": "2024-26", "mean": 1.67, "t": 0.99, "median": 1.12, "n": 216, "months": 33 } ], "whole": { "period": "2017-26", "mean": 1.18, "t": 1.38, "median": 0.51, "n": 405, "months": 97 }, "checks": { "next_close": [ { "period": "2017-19", "mean": 3.09, "t": 3.09, "median": 2.54, "n": 40, "months": 22 }, { "period": "2020-21", "mean": -1.58, "t": -1.08, "median": -0.13, "n": 76, "months": 20 }, { "period": "2022-23", "mean": 2.15, "t": 1.65, "median": 2.16, "n": 73, "months": 22 }, { "period": "2024-26", "mean": 1.38, "t": 0.83, "median": 0.28, "n": 216, "months": 33 } ], "same_tier": [ { "period": "2017-19", "mean": 0.74, "t": 0.58, "median": -0.91, "n": 40, "months": 22 }, { "period": "2020-21", "mean": -2.49, "t": -2.02, "median": -1.65, "n": 76, "months": 20 }, { "period": "2022-23", "mean": 1.18, "t": 0.9, "median": 0.38, "n": 73, "months": 22 }, { "period": "2024-26", "mean": 0.46, "t": 0.35, "median": 0.16, "n": 216, "months": 33 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": 2.65, "t": 1.88, "median": 1.3, "n": 40, "months": 22 }, { "period": "2020-21", "mean": -1.94, "t": -1.17, "median": -0.27, "n": 76, "months": 20 }, { "period": "2022-23", "mean": 1.82, "t": 1.14, "median": 0.61, "n": 73, "months": 22 }, { "period": "2024-26", "mean": 1.67, "t": 0.99, "median": 1.12, "n": 216, "months": 33 } ] } }, { "id": "drop.over_1b.63", "family": "drop", "title": "After a one-day drop, over $1B a day, next 63 sessions", "what": "Stocks liquid the day before (over $1B a day) with a one-day move of at least 3 standard deviations of its prior 63 sessions and at least 4% against the S&P 500 (down): their return over the next 63 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price).", "unit": "% over 63 sessions", "benchmark": "average liquid stock", "state": "no measurable effect", "deciding": [ "2022-23", "2024-26" ], "variants_agree": false, "results": [ { "period": "2017-19", "mean": 2.35, "t": 1.36, "median": 1.98, "n": 40, "months": 22 }, { "period": "2020-21", "mean": -1.72, "t": -0.43, "median": -0.25, "n": 76, "months": 20 }, { "period": "2022-23", "mean": 1.95, "t": 0.94, "median": 0.73, "n": 73, "months": 22 }, { "period": "2024-26", "mean": 1.49, "t": 0.62, "median": 0.3, "n": 204, "months": 30 } ], "whole": { "period": "2017-26", "mean": 1.12, "t": 0.81, "median": 0.73, "n": 393, "months": 94 }, "checks": { "next_close": [ { "period": "2017-19", "mean": 2.65, "t": 1.37, "median": 4.82, "n": 40, "months": 22 }, { "period": "2020-21", "mean": -2.03, "t": -0.54, "median": -3.34, "n": 76, "months": 20 }, { "period": "2022-23", "mean": 1.92, "t": 0.9, "median": 2.55, "n": 73, "months": 22 }, { "period": "2024-26", "mean": 1.5, "t": 0.66, "median": 0.83, "n": 204, "months": 30 } ], "same_tier": [ { "period": "2017-19", "mean": -2.47, "t": -1.29, "median": -0.87, "n": 40, "months": 22 }, { "period": "2020-21", "mean": -2.9, "t": -1.12, "median": -3.12, "n": 76, "months": 20 }, { "period": "2022-23", "mean": -1.27, "t": -0.57, "median": 0.56, "n": 73, "months": 22 }, { "period": "2024-26", "mean": -1.64, "t": -0.9, "median": -3.05, "n": 204, "months": 30 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": 2.35, "t": 1.36, "median": 1.98, "n": 40, "months": 22 }, { "period": "2020-21", "mean": -1.72, "t": -0.43, "median": -0.25, "n": 76, "months": 20 }, { "period": "2022-23", "mean": 1.95, "t": 0.94, "median": 0.73, "n": 73, "months": 22 }, { "period": "2024-26", "mean": 1.49, "t": 0.62, "median": 0.3, "n": 204, "months": 30 } ] } }, { "id": "path.rise_50.63", "family": "path", "title": "After a rise of 50% from entry, next 63 sessions", "what": "Strong stocks (within 15% of their 252-session high and in the top fifth by 126-session return) bought every 21 sessions; the first session within a year that the stock rose 50% from the entry close: its return over the next 63 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price). Strong stocks are bought on each of 21 staggered monthly calendars; each calendar's events are deduplicated on their own, its monthly means are taken, and the calendars are averaged month by month (n is per calendar), so no single buying day decides the result.", "unit": "% over 63 sessions", "benchmark": "average liquid stock", "state": "no measurable effect", "deciding": [ "2022-23", "2024-26" ], "variants_agree": true, "results": [ { "period": "2017-19", "mean": -0.3, "t": -0.2, "median": -0.55, "n": 783, "months": 36 }, { "period": "2020-21", "mean": 1.73, "t": 0.94, "median": -3.25, "n": 1167, "months": 24 }, { "period": "2022-23", "mean": -0.51, "t": -0.23, "median": 0.44, "n": 435, "months": 24 }, { "period": "2024-26", "mean": 1.06, "t": 0.64, "median": -0.93, "n": 1662, "months": 31 } ], "whole": { "period": "2017-26", "mean": 0.44, "t": 0.49, "median": -1.28, "n": 4046, "months": 115 }, "checks": { "next_close": [ { "period": "2017-19", "mean": -0.24, "t": -0.16, "median": -0.43, "n": 783, "months": 36 }, { "period": "2020-21", "mean": 1.51, "t": 0.88, "median": -3.28, "n": 1167, "months": 24 }, { "period": "2022-23", "mean": -0.49, "t": -0.22, "median": 0.34, "n": 435, "months": 24 }, { "period": "2024-26", "mean": 1.35, "t": 0.86, "median": -0.69, "n": 1661, "months": 31 } ], "same_tier": [ { "period": "2017-19", "mean": -0.21, "t": -0.14, "median": -0.58, "n": 783, "months": 36 }, { "period": "2020-21", "mean": 1.99, "t": 1.06, "median": -2.88, "n": 1167, "months": 24 }, { "period": "2022-23", "mean": -0.49, "t": -0.22, "median": 0.17, "n": 435, "months": 24 }, { "period": "2024-26", "mean": 1.11, "t": 0.67, "median": -0.89, "n": 1662, "months": 31 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": -0.49, "t": -0.31, "median": -0.65, "n": 774, "months": 36 }, { "period": "2020-21", "mean": 1.58, "t": 0.86, "median": -3.25, "n": 1146, "months": 24 }, { "period": "2022-23", "mean": -0.47, "t": -0.21, "median": 0.37, "n": 432, "months": 24 }, { "period": "2024-26", "mean": 1.07, "t": 0.64, "median": -0.86, "n": 1659, "months": 31 } ] } }, { "id": "path.rise_50.126", "family": "path", "title": "After a rise of 50% from entry, next 126 sessions", "what": "Strong stocks (within 15% of their 252-session high and in the top fifth by 126-session return) bought every 21 sessions; the first session within a year that the stock rose 50% from the entry close: its return over the next 126 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price). Strong stocks are bought on each of 21 staggered monthly calendars; each calendar's events are deduplicated on their own, its monthly means are taken, and the calendars are averaged month by month (n is per calendar), so no single buying day decides the result.", "unit": "% over 126 sessions", "benchmark": "average liquid stock", "state": "unstable", "deciding": [ "2022-23", "2024-26" ], "variants_agree": true, "results": [ { "period": "2017-19", "mean": 1.29, "t": 0.77, "median": -0.7, "n": 783, "months": 36 }, { "period": "2020-21", "mean": -1.09, "t": -0.37, "median": -7.31, "n": 1167, "months": 24 }, { "period": "2022-23", "mean": 1.18, "t": 0.48, "median": 2.13, "n": 435, "months": 24 }, { "period": "2024-26", "mean": 4.22, "t": 2.71, "median": -0.7, "n": 1403, "months": 28 } ], "whole": { "period": "2017-26", "mean": 1.49, "t": 1.25, "median": -2.07, "n": 3788, "months": 112 }, "checks": { "next_close": [ { "period": "2017-19", "mean": 1.48, "t": 0.88, "median": -0.45, "n": 783, "months": 36 }, { "period": "2020-21", "mean": -1.4, "t": -0.5, "median": -6.99, "n": 1167, "months": 24 }, { "period": "2022-23", "mean": 1.43, "t": 0.63, "median": 2.34, "n": 435, "months": 24 }, { "period": "2024-26", "mean": 4.49, "t": 2.94, "median": -0.12, "n": 1401, "months": 28 } ], "same_tier": [ { "period": "2017-19", "mean": 1.42, "t": 0.86, "median": -0.67, "n": 783, "months": 36 }, { "period": "2020-21", "mean": -0.54, "t": -0.19, "median": -6.61, "n": 1167, "months": 24 }, { "period": "2022-23", "mean": 1.1, "t": 0.45, "median": 2.03, "n": 435, "months": 24 }, { "period": "2024-26", "mean": 4.2, "t": 2.57, "median": -0.92, "n": 1403, "months": 28 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": 1.04, "t": 0.61, "median": -0.78, "n": 772, "months": 36 }, { "period": "2020-21", "mean": -1.51, "t": -0.53, "median": -7.82, "n": 1135, "months": 24 }, { "period": "2022-23", "mean": 1.25, "t": 0.51, "median": 2, "n": 431, "months": 24 }, { "period": "2024-26", "mean": 4.24, "t": 2.73, "median": -0.63, "n": 1401, "months": 28 } ] } }, { "id": "path.rise_100.63", "family": "path", "title": "After a rise of 100% from entry, next 63 sessions", "what": "Strong stocks (within 15% of their 252-session high and in the top fifth by 126-session return) bought every 21 sessions; the first session within a year that the stock rose 100% from the entry close: its return over the next 63 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price). Strong stocks are bought on each of 21 staggered monthly calendars; each calendar's events are deduplicated on their own, its monthly means are taken, and the calendars are averaged month by month (n is per calendar), so no single buying day decides the result.", "unit": "% over 63 sessions", "benchmark": "average liquid stock", "state": "no measurable effect", "deciding": [ "2022-23", "2024-26" ], "variants_agree": true, "results": [ { "period": "2017-19", "mean": 2.13, "t": 0.71, "median": -1.62, "n": 185, "months": 34 }, { "period": "2020-21", "mean": 3.15, "t": 0.86, "median": -5.86, "n": 456, "months": 24 }, { "period": "2022-23", "mean": 4.41, "t": 1.15, "median": 1.95, "n": 107, "months": 24 }, { "period": "2024-26", "mean": 1.11, "t": 0.43, "median": -2.33, "n": 626, "months": 31 } ], "whole": { "period": "2017-26", "mean": 2.55, "t": 1.55, "median": -3.26, "n": 1375, "months": 113 }, "checks": { "next_close": [ { "period": "2017-19", "mean": 3.6, "t": 1.05, "median": -1.3, "n": 185, "months": 34 }, { "period": "2020-21", "mean": 2.85, "t": 0.86, "median": -5.8, "n": 456, "months": 24 }, { "period": "2022-23", "mean": 4.3, "t": 1.1, "median": 1.79, "n": 107, "months": 24 }, { "period": "2024-26", "mean": 0.9, "t": 0.37, "median": -2.92, "n": 625, "months": 31 } ], "same_tier": [ { "period": "2017-19", "mean": 2.2, "t": 0.72, "median": -1.54, "n": 185, "months": 34 }, { "period": "2020-21", "mean": 3.4, "t": 0.92, "median": -5.47, "n": 456, "months": 24 }, { "period": "2022-23", "mean": 4.53, "t": 1.18, "median": 2.79, "n": 107, "months": 24 }, { "period": "2024-26", "mean": 1.19, "t": 0.47, "median": -2.26, "n": 626, "months": 31 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": 2.87, "t": 0.82, "median": -1.72, "n": 182, "months": 34 }, { "period": "2020-21", "mean": 2.67, "t": 0.76, "median": -6.11, "n": 445, "months": 24 }, { "period": "2022-23", "mean": 4.52, "t": 1.16, "median": 1.77, "n": 106, "months": 24 }, { "period": "2024-26", "mean": 1.11, "t": 0.43, "median": -2.33, "n": 626, "months": 31 } ] } }, { "id": "path.rise_100.126", "family": "path", "title": "After a rise of 100% from entry, next 126 sessions", "what": "Strong stocks (within 15% of their 252-session high and in the top fifth by 126-session return) bought every 21 sessions; the first session within a year that the stock rose 100% from the entry close: its return over the next 126 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price). Strong stocks are bought on each of 21 staggered monthly calendars; each calendar's events are deduplicated on their own, its monthly means are taken, and the calendars are averaged month by month (n is per calendar), so no single buying day decides the result.", "unit": "% over 126 sessions", "benchmark": "average liquid stock", "state": "holds", "deciding": [ "2022-23", "2024-26" ], "variants_agree": true, "results": [ { "period": "2017-19", "mean": 0.55, "t": 0.15, "median": -2.6, "n": 185, "months": 34 }, { "period": "2020-21", "mean": 1.21, "t": 0.19, "median": -11.43, "n": 456, "months": 24 }, { "period": "2022-23", "mean": 8.57, "t": 2.13, "median": 5.27, "n": 107, "months": 24 }, { "period": "2024-26", "mean": 4.89, "t": 2.07, "median": -3.89, "n": 495, "months": 28 } ], "whole": { "period": "2017-26", "mean": 3.55, "t": 1.53, "median": -5.52, "n": 1243, "months": 110 }, "checks": { "next_close": [ { "period": "2017-19", "mean": 0.92, "t": 0.26, "median": -1.53, "n": 185, "months": 34 }, { "period": "2020-21", "mean": 1.01, "t": 0.16, "median": -11.79, "n": 456, "months": 24 }, { "period": "2022-23", "mean": 8.46, "t": 2.12, "median": 4.02, "n": 107, "months": 24 }, { "period": "2024-26", "mean": 4.8, "t": 2.15, "median": -3.08, "n": 493, "months": 28 } ], "same_tier": [ { "period": "2017-19", "mean": 0.55, "t": 0.15, "median": -1.67, "n": 185, "months": 34 }, { "period": "2020-21", "mean": 1.81, "t": 0.28, "median": -10.76, "n": 456, "months": 24 }, { "period": "2022-23", "mean": 8.88, "t": 2.18, "median": 5.75, "n": 107, "months": 24 }, { "period": "2024-26", "mean": 4.85, "t": 1.97, "median": -3.74, "n": 495, "months": 28 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": 0.72, "t": 0.18, "median": -3.1, "n": 181, "months": 34 }, { "period": "2020-21", "mean": 0.86, "t": 0.13, "median": -11.99, "n": 439, "months": 24 }, { "period": "2022-23", "mean": 8.7, "t": 2.16, "median": 5.48, "n": 105, "months": 24 }, { "period": "2024-26", "mean": 4.91, "t": 2.08, "median": -3.74, "n": 494, "months": 28 } ] } }, { "id": "path.fall_30.63", "family": "path", "title": "After a fall of 30% from entry, next 63 sessions", "what": "Strong stocks (within 15% of their 252-session high and in the top fifth by 126-session return) bought every 21 sessions; the first session within a year that the stock fell 30% from the entry close: its return over the next 63 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price). Strong stocks are bought on each of 21 staggered monthly calendars; each calendar's events are deduplicated on their own, its monthly means are taken, and the calendars are averaged month by month (n is per calendar), so no single buying day decides the result.", "unit": "% over 63 sessions", "benchmark": "average liquid stock", "state": "no measurable effect", "deciding": [ "2022-23", "2024-26" ], "variants_agree": true, "results": [ { "period": "2017-19", "mean": 1.01, "t": 0.7, "median": -0.76, "n": 1006, "months": 36 }, { "period": "2020-21", "mean": -0.3, "t": -0.11, "median": -3.11, "n": 1368, "months": 24 }, { "period": "2022-23", "mean": -0.47, "t": -0.41, "median": 0.41, "n": 1262, "months": 24 }, { "period": "2024-26", "mean": 0.62, "t": 0.46, "median": -2.37, "n": 1486, "months": 31 } ], "whole": { "period": "2017-26", "mean": 0.32, "t": 0.38, "median": -1.24, "n": 5122, "months": 115 }, "checks": { "next_close": [ { "period": "2017-19", "mean": 1.23, "t": 0.88, "median": -1.3, "n": 1006, "months": 36 }, { "period": "2020-21", "mean": -0.87, "t": -0.3, "median": -3.82, "n": 1368, "months": 24 }, { "period": "2022-23", "mean": -0.66, "t": -0.57, "median": 0.13, "n": 1262, "months": 24 }, { "period": "2024-26", "mean": 0.25, "t": 0.19, "median": -2.83, "n": 1480, "months": 31 } ], "same_tier": [ { "period": "2017-19", "mean": 1.03, "t": 0.71, "median": -0.59, "n": 1006, "months": 36 }, { "period": "2020-21", "mean": -0.34, "t": -0.13, "median": -3.01, "n": 1368, "months": 24 }, { "period": "2022-23", "mean": -0.39, "t": -0.34, "median": 0.47, "n": 1262, "months": 24 }, { "period": "2024-26", "mean": 0.51, "t": 0.4, "median": -2.17, "n": 1486, "months": 31 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": 0.99, "t": 0.69, "median": -0.62, "n": 998, "months": 36 }, { "period": "2020-21", "mean": -0.37, "t": -0.14, "median": -3.09, "n": 1360, "months": 24 }, { "period": "2022-23", "mean": -0.46, "t": -0.39, "median": 0.41, "n": 1261, "months": 24 }, { "period": "2024-26", "mean": 0.72, "t": 0.53, "median": -2.39, "n": 1485, "months": 31 } ] } }, { "id": "path.fall_30.126", "family": "path", "title": "After a fall of 30% from entry, next 126 sessions", "what": "Strong stocks (within 15% of their 252-session high and in the top fifth by 126-session return) bought every 21 sessions; the first session within a year that the stock fell 30% from the entry close: its return over the next 126 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price). Strong stocks are bought on each of 21 staggered monthly calendars; each calendar's events are deduplicated on their own, its monthly means are taken, and the calendars are averaged month by month (n is per calendar), so no single buying day decides the result.", "unit": "% over 126 sessions", "benchmark": "average liquid stock", "state": "no measurable effect", "deciding": [ "2022-23", "2024-26" ], "variants_agree": false, "results": [ { "period": "2017-19", "mean": -0.16, "t": -0.06, "median": -2.22, "n": 1006, "months": 36 }, { "period": "2020-21", "mean": 0.14, "t": 0.04, "median": -7.82, "n": 1368, "months": 24 }, { "period": "2022-23", "mean": -0.12, "t": -0.11, "median": -0.76, "n": 1262, "months": 24 }, { "period": "2024-26", "mean": 1.44, "t": 0.58, "median": -5.72, "n": 1330, "months": 28 } ], "whole": { "period": "2017-26", "mean": 0.31, "t": 0.24, "median": -3.67, "n": 4966, "months": 112 }, "checks": { "next_close": [ { "period": "2017-19", "mean": 0.15, "t": 0.07, "median": -2.49, "n": 1006, "months": 36 }, { "period": "2020-21", "mean": -0.77, "t": -0.25, "median": -7.62, "n": 1368, "months": 24 }, { "period": "2022-23", "mean": -0.42, "t": -0.39, "median": -0.52, "n": 1262, "months": 24 }, { "period": "2024-26", "mean": 0.67, "t": 0.27, "median": -5.61, "n": 1329, "months": 28 } ], "same_tier": [ { "period": "2017-19", "mean": -0.02, "t": -0.01, "median": -2.4, "n": 1006, "months": 36 }, { "period": "2020-21", "mean": -0.25, "t": -0.08, "median": -7.93, "n": 1368, "months": 24 }, { "period": "2022-23", "mean": 0.13, "t": 0.14, "median": -0.38, "n": 1262, "months": 24 }, { "period": "2024-26", "mean": 1.29, "t": 0.5, "median": -5.77, "n": 1330, "months": 28 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": -0.63, "t": -0.27, "median": -2.32, "n": 991, "months": 36 }, { "period": "2020-21", "mean": -0.33, "t": -0.1, "median": -7.78, "n": 1352, "months": 24 }, { "period": "2022-23", "mean": -0.11, "t": -0.1, "median": -0.75, "n": 1261, "months": 24 }, { "period": "2024-26", "mean": 1.55, "t": 0.61, "median": -5.73, "n": 1328, "months": 28 } ] } }, { "id": "path.fall_50.63", "family": "path", "title": "After a fall of 50% from entry, next 63 sessions", "what": "Strong stocks (within 15% of their 252-session high and in the top fifth by 126-session return) bought every 21 sessions; the first session within a year that the stock fell 50% from the entry close: its return over the next 63 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price). Strong stocks are bought on each of 21 staggered monthly calendars; each calendar's events are deduplicated on their own, its monthly means are taken, and the calendars are averaged month by month (n is per calendar), so no single buying day decides the result.", "unit": "% over 63 sessions", "benchmark": "average liquid stock", "state": "no measurable effect", "deciding": [ "2022-23", "2024-26" ], "variants_agree": true, "results": [ { "period": "2017-19", "mean": -0.84, "t": -0.33, "median": 2.32, "n": 307, "months": 35 }, { "period": "2020-21", "mean": -0.57, "t": -0.13, "median": 4.98, "n": 598, "months": 24 }, { "period": "2022-23", "mean": -1.46, "t": -0.82, "median": -0.15, "n": 446, "months": 24 }, { "period": "2024-26", "mean": 3.7, "t": 1.34, "median": -0.28, "n": 543, "months": 31 } ], "whole": { "period": "2017-26", "mean": 0.32, "t": 0.21, "median": 1.63, "n": 1894, "months": 114 }, "checks": { "next_close": [ { "period": "2017-19", "mean": -1.06, "t": -0.33, "median": 0.34, "n": 307, "months": 35 }, { "period": "2020-21", "mean": -1.89, "t": -0.44, "median": 3.14, "n": 597, "months": 24 }, { "period": "2022-23", "mean": -1.47, "t": -0.84, "median": -1.37, "n": 446, "months": 24 }, { "period": "2024-26", "mean": 2.53, "t": 1, "median": -1.49, "n": 541, "months": 31 } ], "same_tier": [ { "period": "2017-19", "mean": -0.8, "t": -0.32, "median": 2.53, "n": 307, "months": 35 }, { "period": "2020-21", "mean": -1.3, "t": -0.3, "median": 4.59, "n": 598, "months": 24 }, { "period": "2022-23", "mean": -1.24, "t": -0.71, "median": -0.09, "n": 446, "months": 24 }, { "period": "2024-26", "mean": 3.62, "t": 1.37, "median": -0.21, "n": 543, "months": 31 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": -0.92, "t": -0.36, "median": 2.41, "n": 304, "months": 35 }, { "period": "2020-21", "mean": -0.6, "t": -0.14, "median": 5.02, "n": 593, "months": 24 }, { "period": "2022-23", "mean": -1.38, "t": -0.79, "median": -0.14, "n": 445, "months": 24 }, { "period": "2024-26", "mean": 3.8, "t": 1.36, "median": -0.27, "n": 543, "months": 31 } ] } }, { "id": "path.fall_50.126", "family": "path", "title": "After a fall of 50% from entry, next 126 sessions", "what": "Strong stocks (within 15% of their 252-session high and in the top fifth by 126-session return) bought every 21 sessions; the first session within a year that the stock fell 50% from the entry close: its return over the next 126 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price). Strong stocks are bought on each of 21 staggered monthly calendars; each calendar's events are deduplicated on their own, its monthly means are taken, and the calendars are averaged month by month (n is per calendar), so no single buying day decides the result.", "unit": "% over 126 sessions", "benchmark": "average liquid stock", "state": "no measurable effect", "deciding": [ "2022-23", "2024-26" ], "variants_agree": true, "results": [ { "period": "2017-19", "mean": -0.21, "t": -0.07, "median": -2.86, "n": 307, "months": 35 }, { "period": "2020-21", "mean": -1.6, "t": -0.14, "median": 0.16, "n": 598, "months": 24 }, { "period": "2022-23", "mean": -0.82, "t": -0.3, "median": -3.55, "n": 446, "months": 24 }, { "period": "2024-26", "mean": 7.44, "t": 1.85, "median": -5.53, "n": 498, "months": 28 } ], "whole": { "period": "2017-26", "mean": 1.29, "t": 0.4, "median": -2.87, "n": 1849, "months": 111 }, "checks": { "next_close": [ { "period": "2017-19", "mean": 0.13, "t": 0.04, "median": -3.69, "n": 307, "months": 35 }, { "period": "2020-21", "mean": -2.36, "t": -0.21, "median": 0.01, "n": 597, "months": 24 }, { "period": "2022-23", "mean": -1.36, "t": -0.48, "median": -3.74, "n": 446, "months": 24 }, { "period": "2024-26", "mean": 5.86, "t": 1.61, "median": -5.69, "n": 497, "months": 28 } ], "same_tier": [ { "period": "2017-19", "mean": 0.08, "t": 0.02, "median": -2.5, "n": 307, "months": 35 }, { "period": "2020-21", "mean": -2.95, "t": -0.27, "median": -0.21, "n": 598, "months": 24 }, { "period": "2022-23", "mean": -0.46, "t": -0.17, "median": -3.98, "n": 446, "months": 24 }, { "period": "2024-26", "mean": 7.24, "t": 1.85, "median": -5.32, "n": 498, "months": 28 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": -0.41, "t": -0.13, "median": -3.68, "n": 301, "months": 35 }, { "period": "2020-21", "mean": -1.11, "t": -0.1, "median": 0.16, "n": 590, "months": 24 }, { "period": "2022-23", "mean": -0.64, "t": -0.24, "median": -3.54, "n": 444, "months": 24 }, { "period": "2024-26", "mean": 7.58, "t": 1.84, "median": -5.61, "n": 497, "months": 28 } ] } }, { "id": "path.pullback_25.63", "family": "path", "title": "After doubling, then 25% below the peak, next 63 sessions", "what": "Strong stocks (within 15% of their 252-session high and in the top fifth by 126-session return) bought every 21 sessions; the first session within a year that the stock doubled from the entry close and then closed 25% below its highest close since entry: its return over the next 63 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price). Strong stocks are bought on each of 21 staggered monthly calendars; each calendar's events are deduplicated on their own, its monthly means are taken, and the calendars are averaged month by month (n is per calendar), so no single buying day decides the result.", "unit": "% over 63 sessions", "benchmark": "average liquid stock", "state": "no measurable effect", "deciding": [ "2022-23", "2024-26" ], "variants_agree": true, "results": [ { "period": "2017-19", "mean": 3.25, "t": 0.99, "median": 1.08, "n": 80, "months": 25 }, { "period": "2020-21", "mean": 2.93, "t": 0.91, "median": -8.07, "n": 244, "months": 23 }, { "period": "2022-23", "mean": -2.27, "t": -0.52, "median": -0.94, "n": 60, "months": 22 }, { "period": "2024-26", "mean": 5.85, "t": 1.49, "median": -2.68, "n": 336, "months": 31 } ], "whole": { "period": "2017-26", "mean": 2.77, "t": 1.31, "median": -3.49, "n": 720, "months": 101 }, "checks": { "next_close": [ { "period": "2017-19", "mean": 2.03, "t": 0.6, "median": -2.86, "n": 80, "months": 25 }, { "period": "2020-21", "mean": 2.27, "t": 0.65, "median": -10.83, "n": 244, "months": 23 }, { "period": "2022-23", "mean": -3.64, "t": -0.87, "median": -3.84, "n": 60, "months": 22 }, { "period": "2024-26", "mean": 5.5, "t": 1.56, "median": -4.73, "n": 334, "months": 31 } ], "same_tier": [ { "period": "2017-19", "mean": 3.39, "t": 1.06, "median": 0.38, "n": 80, "months": 25 }, { "period": "2020-21", "mean": 3.25, "t": 0.96, "median": -8.07, "n": 244, "months": 23 }, { "period": "2022-23", "mean": -2.18, "t": -0.49, "median": -0.68, "n": 60, "months": 22 }, { "period": "2024-26", "mean": 5.69, "t": 1.48, "median": -3.12, "n": 336, "months": 31 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": 3.14, "t": 0.96, "median": 0.89, "n": 79, "months": 25 }, { "period": "2020-21", "mean": 2.79, "t": 0.9, "median": -8.07, "n": 242, "months": 23 }, { "period": "2022-23", "mean": -2.26, "t": -0.52, "median": -0.94, "n": 60, "months": 22 }, { "period": "2024-26", "mean": 5.85, "t": 1.49, "median": -2.68, "n": 336, "months": 31 } ] } }, { "id": "path.pullback_25.126", "family": "path", "title": "After doubling, then 25% below the peak, next 126 sessions", "what": "Strong stocks (within 15% of their 252-session high and in the top fifth by 126-session return) bought every 21 sessions; the first session within a year that the stock doubled from the entry close and then closed 25% below its highest close since entry: its return over the next 126 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price). Strong stocks are bought on each of 21 staggered monthly calendars; each calendar's events are deduplicated on their own, its monthly means are taken, and the calendars are averaged month by month (n is per calendar), so no single buying day decides the result.", "unit": "% over 126 sessions", "benchmark": "average liquid stock", "state": "unstable", "deciding": [ "2022-23", "2024-26" ], "variants_agree": true, "results": [ { "period": "2017-19", "mean": 4.82, "t": 0.83, "median": 5.38, "n": 80, "months": 25 }, { "period": "2020-21", "mean": 8.5, "t": 1.03, "median": -7.33, "n": 244, "months": 23 }, { "period": "2022-23", "mean": -2.61, "t": -0.49, "median": -3.09, "n": 60, "months": 22 }, { "period": "2024-26", "mean": 10.58, "t": 2.4, "median": -2.47, "n": 246, "months": 28 } ], "whole": { "period": "2017-26", "mean": 5.66, "t": 1.65, "median": -3.86, "n": 630, "months": 98 }, "checks": { "next_close": [ { "period": "2017-19", "mean": 3.82, "t": 0.61, "median": 4.59, "n": 80, "months": 25 }, { "period": "2020-21", "mean": 8.07, "t": 0.94, "median": -8.67, "n": 244, "months": 23 }, { "period": "2022-23", "mean": -3.69, "t": -0.61, "median": -3.58, "n": 60, "months": 22 }, { "period": "2024-26", "mean": 10.56, "t": 2.2, "median": -1.12, "n": 245, "months": 27 } ], "same_tier": [ { "period": "2017-19", "mean": 4.64, "t": 0.84, "median": 5.1, "n": 80, "months": 25 }, { "period": "2020-21", "mean": 8.84, "t": 1.11, "median": -8.21, "n": 244, "months": 23 }, { "period": "2022-23", "mean": -2.34, "t": -0.43, "median": -2.46, "n": 60, "months": 22 }, { "period": "2024-26", "mean": 10.41, "t": 2.41, "median": -2.57, "n": 246, "months": 28 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": 3.36, "t": 0.65, "median": 5.38, "n": 79, "months": 25 }, { "period": "2020-21", "mean": 7.89, "t": 1, "median": -7.33, "n": 241, "months": 23 }, { "period": "2022-23", "mean": -2.6, "t": -0.49, "median": -1.91, "n": 60, "months": 22 }, { "period": "2024-26", "mean": 10.5, "t": 2.38, "median": -2.47, "n": 245, "months": 28 } ] } }, { "id": "path.pullback_35.63", "family": "path", "title": "After doubling, then 35% below the peak, next 63 sessions", "what": "Strong stocks (within 15% of their 252-session high and in the top fifth by 126-session return) bought every 21 sessions; the first session within a year that the stock doubled from the entry close and then closed 35% below its highest close since entry: its return over the next 63 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price). Strong stocks are bought on each of 21 staggered monthly calendars; each calendar's events are deduplicated on their own, its monthly means are taken, and the calendars are averaged month by month (n is per calendar), so no single buying day decides the result.", "unit": "% over 63 sessions", "benchmark": "average liquid stock", "state": "unstable", "deciding": [ "2022-23", "2024-26" ], "variants_agree": false, "results": [ { "period": "2017-19", "mean": 25.24, "t": 1.12, "median": -0.83, "n": 45, "months": 19 }, { "period": "2020-21", "mean": 6.09, "t": 1.4, "median": -9, "n": 157, "months": 22 }, { "period": "2022-23", "mean": null, "t": null, "median": null, "n": 38, "months": 21 }, { "period": "2024-26", "mean": 10.82, "t": 1.51, "median": -2.97, "n": 208, "months": 30 } ], "whole": { "period": "2017-26", "mean": 9.65, "t": 1.69, "median": -5.31, "n": 449, "months": 92 }, "checks": { "next_close": [ { "period": "2017-19", "mean": 20.4, "t": 1.02, "median": -3.74, "n": 45, "months": 19 }, { "period": "2020-21", "mean": 2.25, "t": 0.55, "median": -10.02, "n": 157, "months": 22 }, { "period": "2022-23", "mean": null, "t": null, "median": null, "n": 38, "months": 21 }, { "period": "2024-26", "mean": 12.36, "t": 1.72, "median": -3.49, "n": 205, "months": 30 } ], "same_tier": [ { "period": "2017-19", "mean": 25.21, "t": 1.13, "median": -0.6, "n": 45, "months": 19 }, { "period": "2020-21", "mean": 6.35, "t": 1.44, "median": -8.68, "n": 157, "months": 22 }, { "period": "2022-23", "mean": null, "t": null, "median": null, "n": 38, "months": 21 }, { "period": "2024-26", "mean": 10.58, "t": 1.48, "median": -3.16, "n": 208, "months": 30 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": 25.24, "t": 1.12, "median": -0.83, "n": 45, "months": 19 }, { "period": "2020-21", "mean": 6.29, "t": 1.45, "median": -8.73, "n": 156, "months": 22 }, { "period": "2022-23", "mean": null, "t": null, "median": null, "n": 38, "months": 21 }, { "period": "2024-26", "mean": 10.82, "t": 1.51, "median": -2.97, "n": 208, "months": 30 } ] } }, { "id": "path.pullback_35.126", "family": "path", "title": "After doubling, then 35% below the peak, next 126 sessions", "what": "Strong stocks (within 15% of their 252-session high and in the top fifth by 126-session return) bought every 21 sessions; the first session within a year that the stock doubled from the entry close and then closed 35% below its highest close since entry: its return over the next 126 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price). Strong stocks are bought on each of 21 staggered monthly calendars; each calendar's events are deduplicated on their own, its monthly means are taken, and the calendars are averaged month by month (n is per calendar), so no single buying day decides the result.", "unit": "% over 126 sessions", "benchmark": "average liquid stock", "state": "unstable", "deciding": [ "2022-23", "2024-26" ], "variants_agree": false, "results": [ { "period": "2017-19", "mean": 18.48, "t": 1.26, "median": -3.5, "n": 45, "months": 19 }, { "period": "2020-21", "mean": 13.51, "t": 1.15, "median": -14.46, "n": 157, "months": 22 }, { "period": "2022-23", "mean": null, "t": null, "median": null, "n": 38, "months": 21 }, { "period": "2024-26", "mean": 20.29, "t": 2.78, "median": -3.27, "n": 163, "months": 27 } ], "whole": { "period": "2017-26", "mean": 14.17, "t": 2.34, "median": -7.75, "n": 404, "months": 89 }, "checks": { "next_close": [ { "period": "2017-19", "mean": 15.01, "t": 1.1, "median": -1.88, "n": 45, "months": 19 }, { "period": "2020-21", "mean": 9.79, "t": 0.97, "median": -15.55, "n": 157, "months": 22 }, { "period": "2022-23", "mean": null, "t": null, "median": null, "n": 38, "months": 21 }, { "period": "2024-26", "mean": 20.58, "t": 3.12, "median": -4.11, "n": 163, "months": 27 } ], "same_tier": [ { "period": "2017-19", "mean": 18.05, "t": 1.25, "median": -8.09, "n": 45, "months": 19 }, { "period": "2020-21", "mean": 14.76, "t": 1.19, "median": -16.49, "n": 157, "months": 22 }, { "period": "2022-23", "mean": null, "t": null, "median": null, "n": 38, "months": 21 }, { "period": "2024-26", "mean": 20, "t": 2.71, "median": -4.85, "n": 163, "months": 27 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": 18.48, "t": 1.26, "median": -3.5, "n": 45, "months": 19 }, { "period": "2020-21", "mean": 13.64, "t": 1.17, "median": -14.89, "n": 156, "months": 22 }, { "period": "2022-23", "mean": null, "t": null, "median": null, "n": 38, "months": 21 }, { "period": "2024-26", "mean": 20.29, "t": 2.78, "median": -3.27, "n": 163, "months": 27 } ] } }, { "id": "path.pullback_50.63", "family": "path", "title": "After doubling, then 50% below the peak, next 63 sessions", "what": "Strong stocks (within 15% of their 252-session high and in the top fifth by 126-session return) bought every 21 sessions; the first session within a year that the stock doubled from the entry close and then closed 50% below its highest close since entry: its return over the next 63 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price). Strong stocks are bought on each of 21 staggered monthly calendars; each calendar's events are deduplicated on their own, its monthly means are taken, and the calendars are averaged month by month (n is per calendar), so no single buying day decides the result.", "unit": "% over 63 sessions", "benchmark": "average liquid stock", "state": "unstable", "deciding": [ "2022-23", "2024-26" ], "variants_agree": false, "results": [ { "period": "2017-19", "mean": null, "t": null, "median": null, "n": 18, "months": 12 }, { "period": "2020-21", "mean": -2.27, "t": -0.71, "median": -2.71, "n": 77, "months": 17 }, { "period": "2022-23", "mean": null, "t": null, "median": null, "n": 20, "months": 14 }, { "period": "2024-26", "mean": 7.65, "t": 1.83, "median": 3.71, "n": 97, "months": 27 } ], "whole": { "period": "2017-26", "mean": 2.17, "t": 0.71, "median": 0.42, "n": 212, "months": 70 }, "checks": { "next_close": [ { "period": "2017-19", "mean": null, "t": null, "median": null, "n": 18, "months": 12 }, { "period": "2020-21", "mean": -2.56, "t": -0.6, "median": -3.88, "n": 77, "months": 16 }, { "period": "2022-23", "mean": null, "t": null, "median": null, "n": 20, "months": 14 }, { "period": "2024-26", "mean": 7.71, "t": 1.9, "median": -0.09, "n": 96, "months": 27 } ], "same_tier": [ { "period": "2017-19", "mean": null, "t": null, "median": null, "n": 18, "months": 12 }, { "period": "2020-21", "mean": -1.36, "t": -0.4, "median": -3.71, "n": 77, "months": 17 }, { "period": "2022-23", "mean": null, "t": null, "median": null, "n": 20, "months": 14 }, { "period": "2024-26", "mean": 7.29, "t": 1.77, "median": 3.76, "n": 97, "months": 27 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": null, "t": null, "median": null, "n": 18, "months": 12 }, { "period": "2020-21", "mean": -2.67, "t": -0.74, "median": -3.11, "n": 76, "months": 16 }, { "period": "2022-23", "mean": null, "t": null, "median": null, "n": 20, "months": 14 }, { "period": "2024-26", "mean": 7.65, "t": 1.83, "median": 3.71, "n": 97, "months": 27 } ] } }, { "id": "path.pullback_50.126", "family": "path", "title": "After doubling, then 50% below the peak, next 126 sessions", "what": "Strong stocks (within 15% of their 252-session high and in the top fifth by 126-session return) bought every 21 sessions; the first session within a year that the stock doubled from the entry close and then closed 50% below its highest close since entry: its return over the next 126 sessions against the average liquid stock.", "method": "One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months (lag 1, 3 or 6 for 21, 63 or 126 sessions). Liquid: median dollar volume over the prior 63 sessions at least $5M, close at least $3 a share and 252 sessions of history, all at the close before the entry. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average stock of the same liquidity tier, and without names that stopped trading or traded flat (daily moves under 0.5%, as when pinned to a deal price). Strong stocks are bought on each of 21 staggered monthly calendars; each calendar's events are deduplicated on their own, its monthly means are taken, and the calendars are averaged month by month (n is per calendar), so no single buying day decides the result.", "unit": "% over 126 sessions", "benchmark": "average liquid stock", "state": "unstable", "deciding": [ "2022-23", "2024-26" ], "variants_agree": false, "results": [ { "period": "2017-19", "mean": null, "t": null, "median": null, "n": 18, "months": 12 }, { "period": "2020-21", "mean": -1.85, "t": -0.2, "median": -16.74, "n": 77, "months": 17 }, { "period": "2022-23", "mean": null, "t": null, "median": null, "n": 20, "months": 14 }, { "period": "2024-26", "mean": 8.21, "t": 0.95, "median": 7.58, "n": 76, "months": 23 } ], "whole": { "period": "2017-26", "mean": 3.66, "t": 0.55, "median": -6.69, "n": 191, "months": 66 }, "checks": { "next_close": [ { "period": "2017-19", "mean": null, "t": null, "median": null, "n": 18, "months": 12 }, { "period": "2020-21", "mean": -2.56, "t": -0.24, "median": -16.28, "n": 77, "months": 16 }, { "period": "2022-23", "mean": null, "t": null, "median": null, "n": 20, "months": 14 }, { "period": "2024-26", "mean": 11.52, "t": 1.19, "median": 3.69, "n": 76, "months": 23 } ], "same_tier": [ { "period": "2017-19", "mean": null, "t": null, "median": null, "n": 18, "months": 12 }, { "period": "2020-21", "mean": 0.4, "t": 0.04, "median": -17.92, "n": 77, "months": 17 }, { "period": "2022-23", "mean": null, "t": null, "median": null, "n": 20, "months": 14 }, { "period": "2024-26", "mean": 6.77, "t": 0.76, "median": 2.64, "n": 76, "months": 23 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": null, "t": null, "median": null, "n": 18, "months": 12 }, { "period": "2020-21", "mean": -2.6, "t": -0.25, "median": -16.92, "n": 76, "months": 16 }, { "period": "2022-23", "mean": null, "t": null, "median": null, "n": 20, "months": 14 }, { "period": "2024-26", "mean": 8.21, "t": 0.95, "median": 7.58, "n": 76, "months": 23 } ] } }, { "id": "liquidity.mean_not_median.63", "family": "liquidity", "title": "Liquid on the mean but not the median, next 63 sessions", "what": "Stocks whose dollar volume over the prior 63 sessions averages at least $5M a day while its median is below $5M (a few heavy days carry them over the floor): their return over the next 63 sessions against the S&P 500.", "method": "The stocks in that state at the close before the entry (close at least $3 a share, 252 sessions of history). One event per stock per 63 sessions; events averaged within the calendar month, months weighted equally; Newey-West t over months, lag 3. A stock that stops trading keeps its last close; returns capped at +1000%. Checked with entry at the next close, against the average $5-20M stock, and without names that stopped trading or traded flat.", "unit": "% over 63 sessions", "benchmark": "S&P 500", "state": "holds", "deciding": [ "2022-23", "2024-26" ], "variants_agree": true, "results": [ { "period": "2017-19", "mean": -1.81, "t": -1.76, "median": -3.25, "n": 2336, "months": 36 }, { "period": "2020-21", "mean": -0.22, "t": -0.04, "median": -7.72, "n": 2209, "months": 24 }, { "period": "2022-23", "mean": -7.1, "t": -3.88, "median": -6.84, "n": 1692, "months": 24 }, { "period": "2024-26", "mean": -13.08, "t": -9.01, "median": -12.14, "n": 3026, "months": 31 } ], "whole": { "period": "2017-26", "mean": -5.62, "t": -3.64, "median": -7.07, "n": 9263, "months": 115 }, "checks": { "next_close": [ { "period": "2017-19", "mean": -1.86, "t": -1.81, "median": -3.23, "n": 2334, "months": 36 }, { "period": "2020-21", "mean": 0.32, "t": 0.06, "median": -7.47, "n": 2207, "months": 24 }, { "period": "2022-23", "mean": -6.58, "t": -3.67, "median": -6.5, "n": 1692, "months": 24 }, { "period": "2024-26", "mean": -12.8, "t": -8.84, "median": -12.1, "n": 3022, "months": 31 } ], "same_tier": [ { "period": "2017-19", "mean": -0.68, "t": -1.04, "median": -2.06, "n": 2336, "months": 36 }, { "period": "2020-21", "mean": -1.47, "t": -0.63, "median": -6.64, "n": 2209, "months": 24 }, { "period": "2022-23", "mean": -5.17, "t": -4.15, "median": -5.42, "n": 1692, "months": 24 }, { "period": "2024-26", "mean": -12.38, "t": -8.23, "median": -11.82, "n": 3026, "months": 31 } ], "without_stopped_or_flat": [ { "period": "2017-19", "mean": -1.83, "t": -1.73, "median": -3.24, "n": 2285, "months": 36 }, { "period": "2020-21", "mean": -0.37, "t": -0.07, "median": -8.04, "n": 2148, "months": 24 }, { "period": "2022-23", "mean": -7.18, "t": -3.91, "median": -7.01, "n": 1680, "months": 24 }, { "period": "2024-26", "mean": -13.07, "t": -8.99, "median": -12.23, "n": 3016, "months": 31 } ] } }, { "id": "most_traded.30", "family": "most_traded", "title": "The 30 most-traded stocks against the S&P 500", "what": "The 30 liquid stocks with the highest median dollar volume over the prior 63 sessions, equal weight, held 63 sessions, against the S&P 500.", "method": "Every session from 2017, the equal-weight return over the next 63 sessions (log growth) minus the S&P 500's, times four for a year; sessions averaged within the calendar month; Newey-West t over months, lag 3. Liquid as for the event tests; a stopped stock keeps its last close.", "unit": "points a year", "benchmark": "S&P 500", "state": "no measurable effect", "deciding": [ "2021-23", "2024-26" ], "variants_agree": null, "results": [ { "period": "2017-20", "mean": 9.71, "t": 2.99, "median": 8.04, "n": 1007, "months": 48, "stocks_pct_a_year": 24.01, "sp500_pct_a_year": 14.3 }, { "period": "2021-23", "mean": -3.98, "t": -0.57, "median": 1.24, "n": 753, "months": 36, "stocks_pct_a_year": 6.09, "sp500_pct_a_year": 10.06 }, { "period": "2024-26", "mean": 10.18, "t": 1.71, "median": 7.7, "n": 633, "months": 31, "stocks_pct_a_year": 28.01, "sp500_pct_a_year": 17.83 } ], "whole": { "period": "2017-26", "mean": 5.55, "t": 1.71, "median": 6.33, "n": 2393, "months": 115, "stocks_pct_a_year": 19.48, "sp500_pct_a_year": 13.92 } }, { "id": "most_traded.50", "family": "most_traded", "title": "The 50 most-traded stocks against the S&P 500", "what": "The 50 liquid stocks with the highest median dollar volume over the prior 63 sessions, equal weight, held 63 sessions, against the S&P 500.", "method": "Every session from 2017, the equal-weight return over the next 63 sessions (log growth) minus the S&P 500's, times four for a year; sessions averaged within the calendar month; Newey-West t over months, lag 3. Liquid as for the event tests; a stopped stock keeps its last close.", "unit": "points a year", "benchmark": "S&P 500", "state": "no measurable effect", "deciding": [ "2021-23", "2024-26" ], "variants_agree": null, "results": [ { "period": "2017-20", "mean": 7.18, "t": 3.33, "median": 5.37, "n": 1007, "months": 48, "stocks_pct_a_year": 21.48, "sp500_pct_a_year": 14.3 }, { "period": "2021-23", "mean": -4.55, "t": -0.85, "median": -0.9, "n": 753, "months": 36, "stocks_pct_a_year": 5.51, "sp500_pct_a_year": 10.06 }, { "period": "2024-26", "mean": 7.31, "t": 1.72, "median": 5.83, "n": 633, "months": 31, "stocks_pct_a_year": 25.14, "sp500_pct_a_year": 17.83 } ], "whole": { "period": "2017-26", "mean": 3.54, "t": 1.45, "median": 3.74, "n": 2393, "months": 115, "stocks_pct_a_year": 17.47, "sp500_pct_a_year": 13.92 } }, { "id": "most_traded.100", "family": "most_traded", "title": "The 100 most-traded stocks against the S&P 500", "what": "The 100 liquid stocks with the highest median dollar volume over the prior 63 sessions, equal weight, held 63 sessions, against the S&P 500.", "method": "Every session from 2017, the equal-weight return over the next 63 sessions (log growth) minus the S&P 500's, times four for a year; sessions averaged within the calendar month; Newey-West t over months, lag 3. Liquid as for the event tests; a stopped stock keeps its last close.", "unit": "points a year", "benchmark": "S&P 500", "state": "no measurable effect", "deciding": [ "2021-23", "2024-26" ], "variants_agree": null, "results": [ { "period": "2017-20", "mean": 4.39, "t": 2.43, "median": 2.62, "n": 1007, "months": 48, "stocks_pct_a_year": 18.69, "sp500_pct_a_year": 14.3 }, { "period": "2021-23", "mean": -5.66, "t": -1.42, "median": -3.19, "n": 753, "months": 36, "stocks_pct_a_year": 4.41, "sp500_pct_a_year": 10.06 }, { "period": "2024-26", "mean": 4.13, "t": 1.22, "median": 3.89, "n": 633, "months": 31, "stocks_pct_a_year": 21.95, "sp500_pct_a_year": 17.83 } ], "whole": { "period": "2017-26", "mean": 1.18, "t": 0.62, "median": 1.93, "n": 2393, "months": 115, "stocks_pct_a_year": 15.1, "sp500_pct_a_year": 13.92 } }, { "id": "sizing.inverse_volatility", "family": "sizing", "title": "Sizing by inverse volatility against equal weight", "what": "Random 15-name books of strong stocks held 63 sessions: weighting by inverse volatility of the prior 63 sessions' daily returns (at most 25% a name) against equal weight, in growth a year.", "method": "Every session, 10 random books from the strong stocks (seed 11); the difference in mean log growth over 63 sessions, times four; sessions averaged by calendar month; Newey-West t, lag 3. A stopped stock keeps its last close.", "unit": "points a year", "benchmark": "equal weight", "state": "unstable", "deciding": [ "2021-23", "2024-26" ], "variants_agree": null, "results": [ { "period": "2017-20", "mean": -1.81, "t": -1.8, "median": -1.39, "n": 1007, "months": 48, "equal_pct_a_year": 16.37, "inverse_volatility_pct_a_year": 14.56, "inverse_variance_pct_a_year": 13.27 }, { "period": "2021-23", "mean": 1.37, "t": 2.11, "median": 0.53, "n": 753, "months": 36, "equal_pct_a_year": 0.82, "inverse_volatility_pct_a_year": 2.19, "inverse_variance_pct_a_year": 2.94 }, { "period": "2024-26", "mean": -0.79, "t": -0.55, "median": -0.7, "n": 633, "months": 31, "equal_pct_a_year": 16.4, "inverse_volatility_pct_a_year": 15.61, "inverse_variance_pct_a_year": 14.59 } ], "whole": { "period": "2017-26", "mean": -0.54, "t": -0.85, "median": -0.54, "n": 2393, "months": 115, "equal_pct_a_year": 11.51, "inverse_volatility_pct_a_year": 10.97, "inverse_variance_pct_a_year": 10.39 } }, { "id": "sizing.inverse_variance", "family": "sizing", "title": "Sizing by inverse variance against equal weight", "what": "Random 15-name books of strong stocks held 63 sessions: weighting by inverse variance of the prior 63 sessions' daily returns (at most 25% a name) against equal weight, in growth a year.", "method": "Every session, 10 random books from the strong stocks (seed 11); the difference in mean log growth over 63 sessions, times four; sessions averaged by calendar month; Newey-West t, lag 3. A stopped stock keeps its last close.", "unit": "points a year", "benchmark": "equal weight", "state": "unstable", "deciding": [ "2021-23", "2024-26" ], "variants_agree": null, "results": [ { "period": "2017-20", "mean": -3.1, "t": -1.76, "median": -2.42, "n": 1007, "months": 48, "equal_pct_a_year": 16.37, "inverse_volatility_pct_a_year": 14.56, "inverse_variance_pct_a_year": 13.27 }, { "period": "2021-23", "mean": 2.12, "t": 2.02, "median": 1.05, "n": 753, "months": 36, "equal_pct_a_year": 0.82, "inverse_volatility_pct_a_year": 2.19, "inverse_variance_pct_a_year": 2.94 }, { "period": "2024-26", "mean": -1.81, "t": -0.72, "median": -1.38, "n": 633, "months": 31, "equal_pct_a_year": 16.4, "inverse_volatility_pct_a_year": 15.61, "inverse_variance_pct_a_year": 14.59 } ], "whole": { "period": "2017-26", "mean": -1.12, "t": -1.02, "median": -1.1, "n": 2393, "months": 115, "equal_pct_a_year": 11.51, "inverse_volatility_pct_a_year": 10.97, "inverse_variance_pct_a_year": 10.39 } }, { "id": "cash.below_200_day", "family": "cash", "title": "Cash while the S&P 500 is below its 200-day average", "what": "A book of strong stocks re-formed every 21 sessions, held in cash on each session after the S&P 500 closed below its 200-day average, against the same book always invested.", "method": "The book is 21 staggered tranches, each re-formed every 21 sessions on its own day, so no single re-formation day decides the result. Daily returns, equal weight (a stopped stock at its last close), cash earns nothing; the difference in log growth by calendar month, times twelve for a year; Newey-West t over months, lag 1. Growth a year of each, the S&P 500's, the share of sessions invested and the number of switches by period.", "unit": "points a year", "benchmark": "always invested", "state": "no measurable effect", "deciding": [ "2022-23", "2024-26" ], "variants_agree": null, "results": [ { "period": "2017-19", "mean": -2.17, "t": -0.84, "median": 0, "n": 36, "months": 36, "sp500_pct_a_year": 14.7, "always_invested_pct_a_year": 12.2, "signal_pct_a_year": 9.7, "invested_share_pct": 91, "switches": 14 }, { "period": "2020-21", "mean": 2.14, "t": 0.24, "median": 0, "n": 24, "months": 24, "sp500_pct_a_year": 23.4, "always_invested_pct_a_year": 23.5, "signal_pct_a_year": 26.1, "invested_share_pct": 88, "switches": 6 }, { "period": "2022-23", "mean": 0.37, "t": 0.05, "median": 0, "n": 24, "months": 24, "sp500_pct_a_year": 1.6, "always_invested_pct_a_year": -4.7, "signal_pct_a_year": -4.4, "invested_share_pct": 56, "switches": 24 }, { "period": "2024-26", "mean": -4.21, "t": -1.6, "median": 0, "n": 34, "months": 34, "sp500_pct_a_year": 21, "always_invested_pct_a_year": 18.2, "signal_pct_a_year": 13.2, "invested_share_pct": 92, "switches": 6 } ], "whole": { "period": "2017-26", "mean": -1.36, "t": -0.54, "median": 0, "n": 118, "months": 118, "sp500_pct_a_year": 15.3, "always_invested_pct_a_year": 12.3, "signal_pct_a_year": 10.8, "invested_share_pct": 84, "switches": 50 } }, { "id": "breadth.top20", "family": "breadth", "title": "Ranking skill and breadth for a 20-name book", "what": "A 20-name book picked by a signal with a given rank correlation (skill) to the next 63 sessions' returns, choosing among 40, 400 or all liquid stocks, in growth a year. The measured line is the no-skill book (all ranked) against the S&P 500; the table shows what each level of skill adds.", "method": "Every session, 8 paired draws (seed 21): one noise vector and one draw of names serve every skill and breadth. Signal = skill × normal score of the realised rank + noise. Mean log growth times four. The book is re-selected every 63 sessions, so the table is an upper bound.", "unit": "points a year", "benchmark": "S&P 500", "state": "unstable", "deciding": [ "2021-23", "2024-26" ], "variants_agree": null, "results": [ { "period": "2017-20", "mean": -0.15, "t": -0.03, "median": -2.77, "n": 1007, "months": 48, "sp500_pct_a_year": 14.3, "book_pct_a_year": 14.15 }, { "period": "2021-23", "mean": -8.67, "t": -3.04, "median": -6.36, "n": 753, "months": 36, "sp500_pct_a_year": 10.06, "book_pct_a_year": 1.4 }, { "period": "2024-26", "mean": -4.65, "t": -1.9, "median": -4.22, "n": 633, "months": 31, "sp500_pct_a_year": 17.83, "book_pct_a_year": 13.18 } ], "whole": { "period": "2017-26", "mean": -4.03, "t": -1.66, "median": -4.01, "n": 2393, "months": 115, "sp500_pct_a_year": 13.92, "book_pct_a_year": 9.9 }, "tables": { "2017-26": { "sp500_pct_a_year": 13.92, "rows": [ { "skill": 0, "top10_of_40": 9.95, "top10_of_400": 9.51, "top10_of_all": 9.36, "top20_of_40": 10.23, "top20_of_400": 9.84, "top20_of_all": 9.9, "top30_of_40": 10.29, "top30_of_400": 10.09, "top30_of_all": 9.98 }, { "skill": 0.02, "top10_of_40": 11.9, "top10_of_400": 13, "top10_of_all": 13.7, "top20_of_40": 11.48, "top20_of_400": 13.07, "top20_of_all": 14.03, "top30_of_40": 10.93, "top30_of_400": 13.01, "top30_of_all": 13.93 }, { "skill": 0.03, "top10_of_40": 12.8, "top10_of_400": 14.73, "top10_of_all": 15.88, "top20_of_40": 12.1, "top20_of_400": 14.65, "top20_of_all": 16.11, "top30_of_40": 11.26, "top30_of_400": 14.48, "top30_of_all": 15.87 }, { "skill": 0.04, "top10_of_40": 13.75, "top10_of_400": 16.51, "top10_of_all": 18.13, "top20_of_40": 12.69, "top20_of_400": 16.23, "top20_of_all": 18.12, "top30_of_40": 11.6, "top30_of_400": 15.93, "top30_of_all": 17.83 }, { "skill": 0.05, "top10_of_40": 14.69, "top10_of_400": 18.3, "top10_of_all": 20.31, "top20_of_40": 13.26, "top20_of_400": 17.74, "top20_of_all": 20.08, "top30_of_40": 11.92, "top30_of_400": 17.39, "top30_of_all": 19.78 } ] }, "2021-26": { "sp500_pct_a_year": 13.66, "rows": [ { "skill": 0, "top10_of_40": 6.54, "top10_of_400": 6.25, "top10_of_all": 6.09, "top20_of_40": 7.01, "top20_of_400": 6.58, "top20_of_all": 6.85, "top30_of_40": 7.14, "top30_of_400": 6.77, "top30_of_all": 6.98 }, { "skill": 0.02, "top10_of_40": 8.69, "top10_of_400": 9.91, "top10_of_all": 10.69, "top20_of_40": 8.34, "top20_of_400": 9.99, "top20_of_all": 11.25, "top30_of_40": 7.81, "top30_of_400": 9.83, "top30_of_all": 11.16 }, { "skill": 0.03, "top10_of_40": 9.58, "top10_of_400": 11.75, "top10_of_all": 13.03, "top20_of_40": 9, "top20_of_400": 11.64, "top20_of_all": 13.51, "top30_of_40": 8.17, "top30_of_400": 11.38, "top30_of_all": 13.19 }, { "skill": 0.04, "top10_of_40": 10.6, "top10_of_400": 13.68, "top10_of_all": 15.43, "top20_of_40": 9.62, "top20_of_400": 13.31, "top20_of_all": 15.63, "top30_of_40": 8.53, "top30_of_400": 12.89, "top30_of_all": 15.27 }, { "skill": 0.05, "top10_of_40": 11.58, "top10_of_400": 15.62, "top10_of_all": 17.75, 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