Combined StrategiesExtended setexperimental liveNew

Combo Analyst Revision X Pairs Cointegration

Updated dailyData needs: mediumlong short

paper

2026

Source

interaction-miner discovery (2026-05-20): analyst_revision_jump x pairs_cointegration, lift_ratio=1.297

Citation only, paper link pending.

In plain terms

Big gap up plus the stock is unusually cheap vs its sector ETF = double-confirmed drift entry.

How it works

A gap-without-revision on a stock that's also dislocated from its sector ETF (high |pair-cointegration z-score|) sets up an unusually-strong drift candidate. Two mechanisms point the same direction: the gap reflects new private information (So-Wang 2023 JAR) and the cointegration spread reflects temporary mispricing vs the sector benchmark (Gatev-Goetzmann-Rouwenhorst 2006). pair_corr=-0.086 (very orthogonal).

Live results

43 times picked on its own · 54 times inside a blend (52 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 54 such blended picks (52 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)

Loading substrate evidence…

Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Sector ETF prices
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Reported return: lift=1.297x over either signal alone
Tested over: 10-day forward

Combined IC=0.275 vs 0.21/0.20 for either alone - lift 1.30x.

Related families

Analyst Revision JumpReal-World & Alternative Data

A big overnight gap NOT preceded by an analyst revision is mispriced — the revision arrives ~5 days later and the price drifts further in that direction.

Cointegrated PairsPrice & Market Behavior

Same idea as pairs reversion, but first checks the stock and its sector ETF actually share a long-run equilibrium (cointegration).

Explore Combo Analyst Revision X Pairs Cointegration on alphactor.ai

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