Price & Market BehaviorExtended setlive in productionNew

cross-sectional small-cap short-term reversal

Updated dailyData needs: lowlong onlylong short

1990

Lehmann, B. N. (1990). Fads, Martingales, and Market Efficiency. Quarterly Journal of Economics, 105(1), 1-28; Jegadeesh, N. (1990). Evidence of Predictable Behavior of Security Returns. Journal of Finance, 45(3), 881-898.

Citation only, paper link pending.

In plain terms

Buy stocks that just underperformed everything else, betting they snap back over the next few days to weeks.

How it works

Short-horizon reversal taken cross-sectionally: each day a ticker gets a percentile rank of its trailing 5d/21d return within the whole universe (precomputed once). The dense cross-sectional construction fixes the density problem that starves per-ticker reversal families on illiquid small caps, not the signal itself.

Live results

597 times picked on its own · 908 times inside a blend (827 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 908 such blended picks (827 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.
Xsec reversal rank
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Recent relative losers tend to bounce back over short horizons, and the dense ranking lets that reversal trade often enough to clear the trade-count gate on small caps.

Related families

cross-sectional small-cap momentumPrice & Market Behavior

Buy the stocks that have been the strongest performers over the past year and (optionally) short the weakest, picked relative to all other stocks.

cross-sectional small-cap multifactor blendPrice & Market Behavior

Favor stocks that are both strong performers and low-volatility, combining two complementary ways of picking winners to smooth out the ride.

Explore cross-sectional small-cap short-term reversal on alphactor.ai

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

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