Price & Market BehaviorCore researchInvalidNew

close strength drift

Updated dailyData needs: highlong onlyshort onlylong short

2010

Heston, S. L., Korajczyk, R. A., & Sadka, R. (2010). Intraday Patterns in the Cross-Section of Stock Returns. Journal of Finance; Bogousslavsky, V. (2016). Infrequent Rebalancing, Return Autocorrelation, and Seasonality. Journal of Finance.

Citation only, paper link pending.

In plain terms

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

How it works

The last-half-hour return and the close-vs-VWAP location proxy informed trading into the close (institutions executing on conviction). A strong close (high last-hour return and close above VWAP) reflects informed buying that persists into the next session; a weak close reflects informed selling.

Live results

76 times picked on its own · 103 times inside a blend (98 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 103 such blended picks (98 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 close pressure (strong last-hour return plus close above VWAP) predicts next-day drift in the same direction.

Related families

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.

afternoon driftPrice & Market Behavior

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

vwap reversionPrice & Market Behavior

When a stock closes far away from its average traded price for the day, it tends to drift back toward that average.

Explore close strength drift on alphactor.ai

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

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