Economy & PolicyExtended setlive in productionNew

drift-regime gated value + reversal

Updated dailyData needs: lowlong onlyshort onlylong short

2025

Anonymous (2025). Discovery of a 13-Sharpe OOS Factor: Drift Regimes Unlock Hidden Cross-Sectional Predictability. arXiv:2511.12490 [q-fin].

Read the paper →

In plain terms

Combine cheapness with a short-term bounce signal, but only act on stocks that have been quietly drifting up day after day.

How it works

A base factor blending value (cheapness) and short-term reversal is expressed ONLY on names currently in a positive drift regime, defined as the fraction of UP days over the trailing ~63 days exceeding a threshold (~55-60%). The drift-regime gate (an up-day-frequency persistence filter, distinct from return-magnitude momentum) is the novel ingredient. Base = 0.7*value + 0.3*reversal. The paper's 13-Sharpe OOS claim is explicitly NOT taken at face value; the harness gates the signal.

Live results

90 times picked on its own · 163 times inside a blend (154 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 163 such blended picks (154 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

Value plus short-term reversal predicts returns specifically when a stock is in a persistent positive-drift regime, a filter the source paper claims unlocks hidden cross-sectional predictability.

Related families

cross-sectional small-cap short-term reversalPrice & Market Behavior

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

Explore drift-regime gated value + reversal on alphactor.ai

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

Open universe with this filter →Browse all 571 families