Economy & PolicyExtended setResearchNew

Market-relative strength

Updated dailyData needs: lowlong onlyshort only

In plain terms

Trade a stock when its strength relative to SPY reaches its own historical extremes.

How it works

Internal stock hypothesis based on its own historical price-return strength relative to SPY. It does not form a sector portfolio or estimate beta orthogonalization.

No live results for this strategy yet. Charts appear once it has earned a top spot on at least one stock, either on its own or as part of a blend of several strategies.

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Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Spy prices
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

Sector Momentum OrthogonalEconomy & Policy

If a stock has beaten the market by a lot over the past 6 months, it tends to keep winning; if it's been losing badly, it tends to keep losing — long the leaders, short the laggards.

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