volume shock reversal
In plain terms
When a stock trades on unusually heavy volume, the day's move is often just liquidity noise that gets reversed the next day.
How it works
A spike in daily turnover (detrended as a z-score of log-turnover vs its recent regime) flags non-informational liquidity demand: uninformed order flow pushes price away from fair value on high volume and the day's open-to-close move partially reverses the next session. High-volume days carry negative return autocorrelation because the move is liquidity-driven, not information-driven.
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 detrended turnover spike marks liquidity-driven (non-informational) moves that reverse the next session.
Related families
On days when a stock's price swings unusually hard intraday, the move tends to be an overreaction that partly reverses 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.
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