Join waitlist
The books... not free though
10 Strategier Som Slår BörsenSvenska10 Strategier Som Slår Börsen10 Strategies That Beat the MarketEnglish10 Strategies That Beat the MarketProRealTime Coding Made SimpleEnglishProRealTime Coding Made Simple
600+StatisticsMarket statistics and edges1,327StrategiesBacktested strategy library18Research papersThe study behind the algos301DocsProBuilder coding reference27Algo development programCourses and lessons24Everything here feeds the 24 algosSee the algos

Stats › Intraday and market microstructure › Short horizon reversal

Daily reversal pays 0.30 per cent on transaction prices and 0.18 on midpoints

ConstructionMean a dayStandard deviationAnnualised Sharpe
Stocks, transaction prices0.30%0.568.44
Stocks, transaction prices, beta hedged0.29%0.489.58
Stocks, quote midpoints0.18%0.614.50
Stocks, quote midpoints, beta hedged0.17%0.544.91
48 industries, transaction prices0.02%0.520.56
The broad market index, for comparison0.02%1.350.26

Daily returns, weights proportional to the negative of market adjusted returns over the previous five days, scaled to one dollar long and one dollar short, January 1998 to December 2010 on all listed US common stocks. No t statistics or standard errors are reported for any of these means, which is a real limitation of the source. Returns are explicitly before trading costs, with a 50 per cent margin assumption.

The short term reversal strategy earns 0.30 per cent a day measured on traded prices and 0.18 on quote midpoints, so about forty per cent of the gross effect is bid and ask bounce that cannot be captured.

0.30%, Sharpe 8.44Daily reversal on transaction prices
0.18%, Sharpe 4.50The same on quote midpoints
0.02%, Sharpe 0.56Measured on 48 industries instead of stocks
0.28% to 0.35%Effective spread on the stocks that generate it

Members only

The rest of this page is for members

Below this point there are 5 sections, 1 table and 3 named sources, roughly 900 words of it. Every figure carries the source it came from and the date the data is from.

You can keep browsing every statistic in the library for free. The intro and the summary are always open.