Price & Market BehaviorExtended setInvalidNew

afternoon drift

Updated dailyData needs: highlong onlyshort onlylong short

2016

Bogousslavsky, V. (2016). Infrequent Rebalancing, Return Autocorrelation, and Seasonality. Journal of Finance; Lou, D., Polk, C., & Skouras, S. (2019). A Tug of War: Overnight Versus Intraday Expected Returns. Journal of Financial Economics.

Citation only, paper link pending.

In plain terms

When a stock pushes hard in the afternoon (when the big institutions trade), it tends to keep moving the same way the next day.

How it works

Afternoon returns are dominated by informed institutional flow, unlike the noisier overnight-reaction morning session, and these time-of-day return components persist. A strong afternoon push tends to continue into the next day's open.

Live results

126 times picked on its own · 110 times inside a blend (104 beat the stock) · updated 2026-07-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 110 such blended picks (104 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

Intraday features daily
A data feed this strategy reads, refreshed on its normal schedule.
Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

Informed late-day flow persists overnight, so a strong afternoon move predicts next-day continuation.

Related families

close strength driftPrice & Market Behavior

A stock that finishes the day strong (rising into the bell and above its average price) tends to keep rising the next day.

closing-auction imbalance driftPrice & Market Behavior

A big rush of buying or selling right into the closing bell tends to keep pushing the price the same way the next day.

overnight gap fadePrice & Market Behavior

When a stock opens with a big jump or drop versus the previous close, that move usually gets partly given back, so you bet on the reversal.

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