closing-auction imbalance drift
In plain terms
A big rush of buying or selling right into the closing bell tends to keep pushing the price the same way the next day.
How it works
The closing auction concentrates informed, index, and rebalancing flow; a strong late move into the close reflects end-of-day order imbalance (a market-on-close proxy) that continues into the next session. A flat close carries no imbalance and is suppressed.
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
End-of-day closing-auction order imbalance drifts into the next session.
Related families
A stock that finishes the day strong (rising into the bell and above its average price) tends to keep rising the next day.
When a stock pushes hard in the afternoon (when the big institutions trade), it tends to keep moving the same way the next day.
When a stock closes far away from its average traded price for the day, it tends to drift back toward that average.
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