Price & Market BehaviorExtended setexperimental liveNew

Payment Cycle Reversal

Updated dailyData needs: lowlong shortlong only

paper

2024

Source

Graziani, G. (2024). Time Series Reversal: A Payment Cycle Friction. Working paper (AFA submission).

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In plain terms

How it works

Graziani (2024): recurring payment-cycle flows (401k contributions, fund distributions/reinvestments, index cash deployment) cluster around month-end/turn-of-month, creating non-fundamental price pressure that reverses once inelastic flow abates. Implementable per-ticker signal: measure the return accrued in the turn-of-month window (last ~3 / first ~3 trading days), fade it over the next week, si

Live results

116 times picked on its own · 549 times inside a blend (521 beat the stock) · updated 2026-07-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 549 such blended picks (521 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

friction premium; decay risk 3/5.

Example tickers where this is likely to fire

SPY AAPL NVDA TSLA

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

Calendar AnomaliesEconomy & Policy

Three calendar quirks: turn-of-month (last/first days outperform), pre-FOMC drift, and day-of-week (Mon weak, Wed-Thu strong).

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