combo amihud x max drawdown
What it checks
Fallen-angel + illiquid stack - beat-up names that are also thin-traded recover with the highest hit-rate (75%) among any combo we found.
Mechanism
Deep-drawdown survivors that ALSO sit in an illiquid regime mark the textbook 'fallen-angel + thin-trading' setup where the illiquidity premium (Amihud 2002) and the tail-risk premium (Atilgan et al 2020) stack on the same stock. The miner's winning combo function is signed_product (magnitude-aware AND) - both signals must agree on the bullish reading for the combo to fire long. Hit-rate on positive-signal days is 75.2% - the highest among all top-30 pairs.
Signal rule
position = clip(2.0 * sign(s_i*s_j) * sqrt(|s_i*s_j|), -1, +1)
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Paper alpha
- lift=1.120x over either signal alone; hit_rate=75.2%
- Paper window
- 10-day forward
Combined IC=0.250 vs 0.22/0.22 for either alone - lift 1.12x. Hit rate on positive signals = 75.2% (top of the top-30).
Related families
amihud illiquidityMicrostructureAmihud 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.
max drawdown premiumRisk-PremiumAtilgan-Bali-Demirtas-Gunaydin 2020: stocks with the worst trailing left-tail outcomes (deepest 1y max drawdown, fattest CVaR(5%)) earn HIGHER subsequent returns — risk compensation for crash exposure. Standard finance ("low-risk anomaly") would predict the opposite; this is one of the few risk factors that actually points the textbook direction. Long when MaxDD > 30% in last 252d AND price now > 60d MA (survivor-bias-aware "emerged from the pit" filter).
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