Price & Market BehaviorExtended setInvalidNew

peer intraday lead-lag

Updated dailyData needs: highlong onlyshort onlylong short

2007

Hou, K. (2007). Industry Information Diffusion and the Lead-Lag Effect in Stock Returns. Review of Financial Studies; Cohen, L., & Frazzini, A. (2008). Economic Links and Predictable Returns. Journal of Finance.

Citation only, paper link pending.

In plain terms

If a stock's closest peers all show heavy one-sided trading near the close, the lagging stock tends to follow them the next day.

How it works

A no-daily-edge ticker is often predictable through its neighbors. Here the lead signal is the cohort's intraday informed-flow fingerprint (peers' last-hour accumulation, afternoon push, VWAP deviation, closing-auction imbalance) rather than peer daily returns. When the cohort's informed intraday flow is strongly one-sided at the close, the laggard tends to follow the next session.

Live results

3 times picked on its own · 4 times inside a blend (4 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 4 such blended picks (4 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

A cohort's strongly one-sided intraday informed flow leads the laggard ticker into the next session.

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.

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.

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.

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