Interaction Miner#218tier 2experimentalNew

`combo amihud x industry lead lag`

cadence: Dailydata: mediumlong short

2026

interaction-miner discovery (2026-05-20): amihud_illiquidity x industry_lead_lag, lift_ratio=1.375

What it checks

Combines two production families that almost never agree: a stock that's both thin-traded and lagging a sector that's beating the market is a textbook slow-diffusion setup.

Mechanism

When a stock enters an illiquid regime (high Amihud percentile = thin trading = stale prices) AND its sector is leading the broad market while the stock itself lags the sector, the combination is a textbook slow-information-diffusion setup. The miner's holdback IC for the z_sum combination is 37% higher than either component alone (pair_corr=0.018, holdback n=3230).

No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag, or once a multi-family blend that includes it earns a champion slot.

Signal rule

position = clip(1.5 * (z(amihud_score) + z(industry_lead_lag_score)), -1, +1)

Data dependencies

daily_prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
spy_prices
Worker data table — see services/worker schema.
sector_etf_prices
Worker data table — see services/worker schema.

Expected edge

Paper alpha: lift=1.375x over either signal alone
Paper window: 10-day forward

Combined IC=0.227 on 10-day forward returns vs 0.31 / 0.24 for either alone - lift 1.375x. Pair-correlation 0.018 means truly orthogonal information.

Related families

amihud illiquidityMicrostructure

Amihud illiquidity = |daily_return| / dollar_volume (×1e6). High ILLIQ → larger price impact per dollar traded → liquidity-risk premium. 20-day rolling Amihud measure ranks tickers; long top-decile illiquid (premium for bearing illiquidity), short bottom-decile.

industry lead lagDiffusion

Information about industry-A fundamentals diffuses slowly to firms in industry-B that are economically linked. Menzly-Ozbas (2010, JF) show upstream industry returns predict downstream industry returns at 1-month horizon, with the slowest diffusion in retail-light / illiquid names. We approximate "upstream industry" by using the broad market (SPY) and the ticker's own sector ETF as proxies (the weak-form version of the family until the BEA input-output customer-supplier matrix is loaded).

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combo amihud x industry lead lag