Monthly cross-sectional MAX
In plain terms
Once a month, compare each stock’s largest daily gains with those of other eligible stocks. The lowest-ranked stocks can enter long positions; the highest-ranked stocks can enter short positions. Each decision lasts until the next month-end update.
How it works
Rank stocks by the highest daily total return in the previous calendar month. Lower MAX deciles form long candidates and higher MAX deciles form short candidates. This is a disclosed trading adaptation; excess return is not established for this implementation.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Xsec lottery max monthly
A data feed this strategy reads, refreshed on its normal schedule.
- Xsec lottery max formation artifacts
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
See the source research for the original effect size; a modern replication on new data may be weaker.
Related families
Explore Monthly cross-sectional MAX on alphactor.ai
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