round number anchoring

Stocks 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 ≤ -1.5 to -2.5 triggers a 3-bar long entry. This is the textbook Jegadeesh (1990) short-horizon reversal — the inverse of medium-term momentum and a proxy for liquidity-provision premiums.

High recent maximum daily returns predict underperformance (Bali-Cakici-Whitelaw 2011) — used as a fade signal: stay flat or short when the rolling 1- or 3-month max daily return is in the top 10-20% of own history. Two variants per lookback: flat_when_lottery (zero exposure during the lottery regime) and short_when_lottery (active short capturing the full underperformance).

Two well-documented overnight-gap edges. GAP-AND-GO (continuation): a large overnight gap UP on confirming volume extends intraday and over the next few sessions — strongest when the gap follows a 20-day-high consolidation breakout. GAP FADE (mean reversion): a large gap DOWN on heavy volume into an oversold tape (close < 20d MA, low RSI) tends to fill within 3-5 sessions; we long the bounce, not short the gap-down. Pure-price family, only needs OHLC.