lottery max
Mechanism
High recent maximum daily returns predict underperformance — used as a fade signal: stay flat (or short) when max-1m daily return is in the top
Signal rule
MAX = max single-day return over last 5d; long bottom quintile, short top
Data dependencies
daily_barsDaily OHLCV bars used by all price-based generators.
Expected edge
~1% per month long-short (Bali-Cakici-Whitelaw 2011)
Illustrative pattern only
NOT a backtestIllustrative pattern only — see /app for live backtests and the actual current equity curve.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
realized skew xsRisk-PremiumStocks with negative realized skewness (left-tail risk, fat downside) trade at a discount and offer a return premium going forward. Conversely positive-skew "lottery" stocks (right-tail upside) are overpriced and
idio vol puzzleRisk-PremiumStocks with high idiosyncratic volatility relative to FF3 earn LOWER returns going forward — the "IVOL puzzle". Counterintuitive (more idio risk should imply higher required return) but robust across 23+
Explore lottery max on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.