Price & Market BehaviorExtended setInactiveNew
Corwin Schultz Spread
Updated dailyData needs: lowlong only
JF
2012
Journal of Finance
Corwin and Schultz (2012), A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices, Journal of Finance 67(2), 719-760
Read the paper →
In plain terms
This older implementation stays blocked; its replacement corrects estimated spread features and executable trading accounting.
How it works
Guarded own-history trading overlay omits author overnight range correction and flat-range repair; source long-wide direction disagrees with its saved long-compress/short-expand metadata.
Live results
6 times picked on its own · 70 times inside a blend (56 beat the stock) · updated 2026-07-06This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 70 such blended picks (56 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)
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
See the source research for the original effect size; a modern replication on new data may be weaker.
Related families
Explore Corwin Schultz Spread on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.