Price & Market BehaviorCore researchlive in productionNew

Frog In Pan Momentum

Updated dailyData needs: lowlong onlyshort onlylong short

2014

Da, Gurun & Warachka (2014) *Review of Financial Studies*, "Frog in the

In plain terms

A series of small same-signed daily moves (continuous info) creates stronger momentum drift than the same total return delivered as a few big jumps.

How it works

Da, Gurun & Warachka (2014) *Review of Financial Studies*, "Frog in the Pan: Continuous Information and Momentum."

Live results

74 times picked on its own · 183 times inside a blend (122 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 183 such blended picks (122 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 bars (OHLCV)
Daily OHLCV bars used by all price-based generators.

Expected edge

Reported return: 6%/yr continuous vs -2% discrete (Da-Gurun-Warachka 2014)
Tested over: 1927-2007

6%/yr for continuous winners vs −2% for discrete (Da-Gurun-Warachka 2014)

Example tickers where this is likely to fire

MSFT ABBV WM

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

Cross Sectional MomentumPrice & Market Behavior

Compare the stock to its sector peers on 12-month return (excluding last month). If it's in the top third of peers, go long.

Idiosyncratic MomentumPrice & Market Behavior

Strip out market and sector moves, then bet on the residual trend — what the stock did beyond what its peers did.

Time-Series MomentumPrice & Market Behavior

If a stock has gone up over the last year, bet it keeps going up; if down, bet it keeps going down. Scales the bet smaller when the stock is jumpy.

Explore Frog In Pan Momentum on alphactor.ai

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

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