Price & Market BehaviorExtended setlive in productionNew

Corwin Schultz Spread

Updated dailyData needs: lowlong only

2012

#107 corwin_schultz_spread — Corwin-Schultz 2012 JF closed-form H/L spread.

In plain terms

A more precise daily-bar bid-ask spread estimator than Roll's, using high-low ranges. We go long only, when a stock's estimated spread widens sharply versus its own one-year history while it is in an uptrend; thresholds vary. No short side.

How it works

Corwin-Schultz 2012 JF derive a closed-form unbiased estimator of percentage spread from daily high-low ranges (beta, gamma, alpha terms), beating Roll out-of-sample because high-low ranges retain intraday volatility information close-to-close discards. The estimator is the paper's contribution; the trading direction is the firm's interpretation. A 2026-05-26 universe-run audit (commit d8bc3f57) found the original v1 compression-long rule (z<-thresh) was ~52% positive (noise) across ~10.1k tickers and v1 short_only ~28.5% positive (systematically losing), so v2 inverted to a long-only wide-spread+uptrend entry and dropped the short/long_short modes. (NB: the in-code comment attributes this to the Amihud-Mendelson 1986 illiquidity premium; that is a cross-sectional equilibrium result about illiquid stocks earning higher expected returns and does not by itself justify a single-name time-series 'go long when this stock's own spread widens' rule. The actual justification is the empirical audit, not the cross-sectional premium.)

Live results

3 times picked on its own · 167 times inside a blend (143 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 167 such blended picks (143 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.

Expected edge

Reported return: 2-4% ann. spread-delta trading premium
Tested over: 1993-2008

Corwin-Schultz 2012: ~10% MSE improvement over Roll on spread estimation; tradeable returns 2-4% ann.

Related families

Roll Implicit SpreadPrice & Market Behavior

Effective bid-ask spread inferred from how negatively a stock's daily returns auto-correlate. Spread widening predicts informed-trading pressure and forward underperformance.

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.

Low-Volatility PremiumEconomy & Policy

Counterintuitive: high-idiosyncratic-vol stocks UNDERPERFORM. So short the high-IVOL names, long the steady ones.

Explore Corwin Schultz Spread on alphactor.ai

See which tickers this family is currently firing on, with live signals and rankings.

Open universe with this filter →Browse all 572 families