Price & Market BehaviorExtended setexperimental liveNew
Market Closure Reversal
Updated dailyData needs: lowlong onlyshort onlylong short
paper
2024
Source
Della Corte & Kosowski (2024), Market Closure and Short-Term Reversal.
Read the paper →
In plain terms
After a long weekend or market holiday, sharp moves often snap back harder than usual. This family tests that closure-conditioned reversal.
How it works
Short-term reversal is stronger after longer market closures. The family fades large 1-3 day close-to-close moves only after weekend or holiday-style gaps, then exits over 1-5 trading days.
Live results
406 times picked on its own · 576 times inside a blend (536 beat the stock) · updated 2026-07-06This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 576 such blended picks (536 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
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Tested over
- Modern daily equity data
Short-horizon reversal premium, strongest around long closures.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Explore Market Closure Reversal on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.