market closure reversal
What it checks
After a long weekend or market holiday, sharp moves often snap back harder than usual. This family tests that closure-conditioned reversal.
Mechanism
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.
Signal rule
After a calendar gap of at least 3 days, fade large prior 1d/3d returns: long losers, short winners, T+1 entry, hold 1/3/5d.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Paper window
- 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
liquidity provision premiumMicrostructure5d reversal compensates liquidity providers; scales with VIX.
short term reversalMomentumStocks that fell sharply over the last 3-10 days tend to bounce in the following 3 days. We z-score recent N-day returns against a 60-day baseline; a z β€ -1.5 to -2.5 triggers a 3-bar long entry. This is the textbook Jegadeesh (1990) short-horizon reversal β the inverse of medium-term momentum and a proxy for liquidity-provision premiums.
Explore market closure reversal on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.