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Round Number Anchoring

Updated dailyData needs: lowlong onlyshort onlylong short

2012

#108 round_number_anchoring — Bhattacharya-Holden-Jacobsen 2012 RFS.

In plain terms

Stocks bounce off round-dollar prices — $50, $100, etc. — because traders cluster orders there. Fade approaches; ride bounces.

How it works

Bhattacharya-Holden-Jacobsen 2012 RFS document significant trade-price clustering at round-number levels and mean-reversion when prices approach a round from a single direction. Psychological anchoring: round numbers are mental support/resistance, so order-book depth thickens there. Effect: ~4-7 bp 5-day reversal after price closes within $0.05 of a whole dollar on stocks priced under $100.

Live results

127 times picked on its own · 108 times inside a blend (93 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 108 such blended picks (93 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

Reported return: 4-7 bp 5-day reversal; 2-3% ann. small/mid
Tested over: 2003-2010

Bhattacharya 2012: 4-7 bp 5-day reversal; ~2-3% ann. trading premium on small/mid-caps.

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