intraday volatility-spike reversal
In plain terms
On days when a stock's price swings unusually hard intraday, the move tends to be an overreaction that partly reverses the next day.
How it works
A spike in realized intraday volatility (minute-bar rvol relative to its recent regime) flags forced flow and liquidity stress; the day's net move overshoots and partially reverses the next session. A calm-vol day carries no overshoot 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
An intraday realized-vol spike signals overshoot, so the day's move partially reverses the next session.
Related families
When a stock trades on unusually heavy volume, the day's move is often just liquidity noise that gets reversed the next day.
When a stock opens with a big jump or drop versus the previous close, that move usually gets partly given back, so you bet on the reversal.
When a stock closes far away from its average traded price for the day, it tends to drift back toward that average.
Explore intraday volatility-spike reversal on alphactor.ai
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