frog in pan momentum
Mechanism
Da, Gurun & Warachka (2014) *Review of Financial Studies*, "Frog in the Pan: Continuous Information and Momentum."
Signal rule
ID = sign(R_252d) × (%neg_days − %pos_days); long top quintile of continuous winners
Data dependencies
daily_bars (OHLCV)Daily OHLCV bars used by all price-based generators.
Expected edge
6%/yr for continuous winners vs −2% for discrete (Da-Gurun-Warachka 2014)
Illustrative pattern only
NOT a backtestIllustrative pattern only — see /app for live backtests and the actual current equity curve.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
cross sectional momentumMomentumFor a single ticker, the cross-sectional analog is: rank the stock vs a peer/sector basket on trailing 12m return ex-1m, go long when in the top tercile of its peer group. Implemented per-ticker by comparing to the sector ETF's universe — without explicit peer-by-peer ranks we use the stock vs sector ETF residual return as a
idiosyncratic momentumMomentumStrip out market+factor beta from stock returns via OLS on Fama-French factors, then rank by trailing residual return. Position long when residual is
tsmomMomentumSign of trailing 12-month return × inverse-volatility scaling. The canonical hedge-fund trend signal — different from "multi-horizon trend voting" because it explicitly *vol-scales*
Explore frog in pan momentum on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.