Combined StrategiesExtended setexperimental liveNew

Combo Amihud X Max Drawdown

Updated dailyData needs: lowlong short

2026

interaction-miner discovery (2026-05-20): amihud_illiquidity x max_drawdown_premium, lift_ratio=1.120, hit_rate=75.2%

In plain terms

Fallen-angel + illiquid stack - beat-up names that are also thin-traded recover with the highest hit-rate (75%) among any combo we found.

How it works

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.

Live results

68 times picked on its own · 112 times inside a blend (99 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 112 such blended picks (99 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

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Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

Reported return: lift=1.120x over either signal alone; hit_rate=75.2%
Tested over: 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 IlliquidityPrice & Market Behavior

Measures how much the price moves per dollar traded. Stocks costly to exit must pay investors more — long the illiquid names for the premium.

Drawdown-Recovery PremiumEconomy & Policy

Stocks that suffered the deepest 1-year drawdowns earn HIGHER subsequent returns — compensation for tail risk.

Explore Combo Amihud X Max Drawdown on alphactor.ai

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