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volume shock reversal

Updated dailyData needs: highlong onlyshort onlylong short

1994

Conrad, J. S., Hameed, A., & Niden, C. (1994). Volume and Autocovariances in Short-Horizon Individual Security Returns. Journal of Finance; Campbell, J. Y., Grossman, S. J., & Wang, J. (1993). Trading Volume and Serial Correlation in Stock Returns. Quarterly Journal of Economics.

Citation only, paper link pending.

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

Inspired by evidence that trading volume conditions short-horizon return autocorrelation. The implemented proxy tests whether an unusually high-volume open-to-close move contains temporary liquidity pressure that reverses.

Live results

267 times picked on its own · 335 times inside a blend (325 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 335 such blended picks (325 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)

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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

intraday volatility-spike reversalPrice & Market Behavior

On days when a stock's price swings unusually hard intraday, the move tends to be an overreaction that partly reverses the next day.

overnight gap fadePrice & Market Behavior

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.

vwap reversionPrice & Market Behavior

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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