Price & Market BehaviorExtended setexperimental liveNew

Weekly Reversal

Updated dailyData needs: lowlong onlyshort only

1990

Lehmann, B. N. (1990). "Fads, Martingales, and Market Efficiency." QJE 105(1), 1-28. Jegadeesh, N. (1990). "Evidence of Predictable Behavior of Security Returns." Journal of Finance.

Read the paper →

In plain terms

After a stock has a particularly bad or good 5-day stretch (vs its own history), the move tends to partially reverse over the next 1-2 weeks. Buy the steepest 5-day losers; short the biggest 5-day winners.

How it works

Robust short-horizon reversal: stocks with the worst 5-day returns subsequently outperform, and stocks with the best 5-day returns subsequently underperform, over a 1-2 week holding period. Persists net of bid-ask bounce; attributed to short-term liquidity provision by contrarian traders.

Live results

654 times picked on its own · 1122 times inside a blend (1033 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 1122 such blended picks (1033 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: 1-2% per event
Tested over: T+1 to T+10d

Lehmann 1990; ~1-2% per 5-day event after costs, ~20-30% annualized gross.

Related families

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Stocks that fell sharply over the last few days tend to bounce; stocks that ripped tend to fade. A 1-week mean-reversion bet.

Lottery-Stock AvoidancePrice & Market Behavior

If a stock had a few wild up-days last month, retail piles in and overpays for it — so it tends to underperform next. We fade those lottery names.

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