peer intraday lead-lag
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.
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
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.
A big rush of buying or selling right into the closing bell tends to keep pushing the price the same way the next day.
Explore peer intraday lead-lag on alphactor.ai
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