close strength drift
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.
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
A big rush of buying or selling right into the closing bell tends to keep pushing the price the same way 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.
Explore close strength drift on alphactor.ai
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