Form4 Dollar Weighted Cluster
In plain terms
Insider buy clusters are most predictive when the dollar amount is large relative to the firm's own history, not relative to an absolute threshold. Rank each company's 30-day rolling insider dollar-buy against its 1-year history and trade the top-decile events.
How it works
Existing #31 insider_form4 and form4_cluster_anomaly combine count + dollar thresholds but neither uses the per-ticker percentile rank of rolling-30d $-buy as the primary signal. Filters out richly-followed names where small-dollar transactions are routine, and elevates small/mid-cap conviction signals that would otherwise miss the $1M floor.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- SEC insider trades
Form-4 insider transactions with role, size, and trade direction.
Expected edge
- Reported return
- +4-6% over 6mo (vs count-only cluster)
- Tested over
- T+1 to T+180d
Cohen-Malloy-Pomorski 2012 (extension); +4-6% over 6mo on $-weighted top-decile vs equal-weighted cluster.
Related families
When several insiders buy their own stock within a short window (a 'cluster buy'), it's the most reliable insider signal. Sales are mostly noise.
When 4+ insiders buy in a single month (a real cluster, not noise), the stock tends to outperform for the next few months.
When 3 or more insiders buy their own stock within 30 days AND the stock is at least 20% below its 90-day high, it is the highest-conviction insider signal (insiders are buying weakness, not chasing momentum). Long for 2-6 months.
Explore Form4 Dollar Weighted Cluster on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.