[{"data":1,"prerenderedAt":816},["ShallowReactive",2],{"strategy-r17":3},{"id":4,"name":5,"family":6,"tags":7,"universe":11,"universe_short":12,"bars":13,"rule_short":14,"rules":15,"sizing":16,"cadence":17,"testable":18,"not_testable_reason":19,"prompt":20,"prompt_note":19,"deviation":21,"evidence":22,"uses_leverage":23,"window":24,"original":19,"collection":25,"collection_name":26,"bars_label":27,"links":28,"verdict":44,"result":45,"chart":81},"R17","Extreme-Drop Rebound","Extreme-move reversal, stocks",[8,9,10],"Mean reversion","Single stocks","Intraday","Nasdaq-100 stocks (the app's NASDAQ 100 universe preset, 100 tickers)","Nasdaq 100","1-minute","Buys Nasdaq-100 stocks after an extreme drop within an hour, and sells an hour later.","Zawadowski, Andor and Kertesz (2006), on liquid NYSE and NASDAQ stocks priced above $10. An event is a price change within at most 60 minutes of more than 4% and more than 8 times the stock's average 60-minute move for that time of day over the previous 60 trading days. Events in the first 5 and the last 60 minutes of the session are ignored, and only the first event per stock per day counts. The trade is contrarian, entered at the event minute (also tested two minutes later): buy after a drop (the paper reports the fall after a rise but tests no short sale, that is, selling borrowed shares to profit from a fall), and exit 30 or 60 minutes later. The profitability test buys after drops at the ask (the lowest price a seller offers) and sells at the bid (the highest a buyer offers). No stop, target or position size.","10% of equity per event; a cash account funds about ten at once. Published: no position size; returns are per event.","When a stock falls more than 4%, and more than eight times its usual move for that time of day, within an hour, between 09:35 and 14:59 (11:59 on early-close days); held 60 minutes and sold by 15:59. Published: from 5 minutes after the open to 60 minutes before the close, held 60 minutes, also tested with 30.",true,null,"Use the NASDAQ 100 universe preset and build a program on 1-minute bars, using the session clock. For each stock and each minute of the session, keep that minute's last 60 values, from earlier sessions, of the absolute percentage change from the close in force 60 minutes earlier to that minute's close (or from the 09:30 bar's close, if that is later); a session with no bar at that minute, such as an early-close day after 13:00, adds no value. From the bar that closes at 09:36 through the bar that closes at 14:59 (11:59 on early-close days), if that minute has 60 values, the bar's close is above $10, and that close is more than 4%, and more than 8 times the average of those 60 values, below the highest close in force over the previous 60 minutes of the same session, buy the stock with 10% of equity. Act only on each stock's first such drop of the day. Sell 60 minutes after the entry fills, or when the 15:58 bar closes (12:58 on early-close days), whichever comes first, so every sale fills by the 15:59 open: a single stock does not print a 16:00 minute on every session. Long only; uninvested capital stays in cash. Backtest the last 3 years with $100,000.","Only drops are bought, as in the paper's after-spread test; rises are not sold short. The app's NASDAQ 100 preset stands in for the paper's liquid NYSE and NASDAQ stocks over $10; as a fixed list of 100 tickers rather than the index's membership over time, it holds both Alphabet share classes, which tend to fall together, and names that delisted during the window, such as Ansys and Walgreens, so it carries survivorship and look-ahead bias (it was chosen with hindsight). The paper's liquidity filter is dropped because every preset name trades almost every minute. Entries fill at the next minute's open; the paper also tested buying two minutes late. Drops are found on trade prices and filled at them, with 0.05% slippage (the assumed trading cost) and no bid-ask spread, where on NASDAQ the paper also required the bid-ask midpoint to pass its trigger, and its NYSE result depended on spreads. Each event gets 10% of equity, where the paper sets no size, and each stock is checked alone, while the paper's averages skip any event within an hour of the last one counted in any stock: in a market-wide fall, drops are bought as they come, same-minute ones in ticker order, until about ten positions use the cash, and later ones are refused or shrunk to fit. Drops in the last 61 minutes are ignored, one more than the paper's 60, and every position is sold by the 15:59 open, because a single stock does not print a 16:00 minute on every session, and a sale left for it would fill the next morning. The time-of-day baseline (our reading of the paper's volatility measure) needs 60 sessions, so the first trade can come on 26 January 2024.","Zawadowski, Andor and Kertesz (Quantitative Finance 2006) used minute trade and quote data for liquid NYSE and NASDAQ stocks over 2000-2002, a volatile bear market; their averages skip any event within an hour of the last one counted in any stock, so market-wide falls do not dominate. In the hour after drops passing the filters (222 on NYSE, 215 on NASDAQ), stocks rose 1.02% on NYSE and 1.93% on NASDAQ, both statistically significant. The 60-minute rebound after NASDAQ drops grew with the size of the move and the strictness of the filter, from 1.07% to 3.16%. Buying after a drop at the ask and selling at the bid an hour later earned 1.60% on NASDAQ, or 1.27% when bought two minutes late; on NYSE it earned 0.44%, not significant, or 0.26%, as NYSE specialists (the dealers assigned to each stock) widened spreads about sixfold at the event, while NASDAQ spreads barely moved. The paper charges no commission beyond the spread, adjusts its event returns for the market only by each stock's beta (its usual sensitivity to the Dow or the NASDAQ Composite), which barely changes them, leaves the after-spread test unadjusted, and tests no period outside its sample. A later test, Mu, Zhou, Chen and Kertesz (New Journal of Physics 2010), applied the same 4%, 60-minute filter, with 6 rather than 8 times normal volatility and on the bid-ask midpoint, to 23 liquid Shenzhen stocks in 2003 and found about a 1% reversal within 10-15 minutes, though 131 of its 163 events were rises and its 32 drops were noisier; it tests no costs. No later test of the 60-minute rule on US stocks was found. On Nasdaq-100 stocks from January 2014 to January 2019, Rif and Utz (Quarterly Review of Economics and Finance 2021) find about 31% of an extreme one-minute drop (the worst minute in a thousand, averaging -72.03 basis points, hundredths of a percent) reversing in the next minute and little in the four after, on trade prices, while the average bid-ask spread nearly tripled in the drop minute, to 14.67 basis points from 5.72 in other minutes. Xiao, Yin and Zhao (Journal of Financial Research 2020; US stock index funds) found price jumps without macroeconomic news reversing for at least 60 minutes, more after drops than rises, but jumps on unscheduled news followed by further moves the same way. The published 1.60% an event after the spread on NASDAQ compares with the library's 0.10% round trip.",false,"minute","research","Published research","1-min",[29,32,35,38,41],[30,31],"Zawadowski, Andor & Kertesz, Short-term market reaction after extreme price changes of liquid stocks (arXiv preprint)","https://arxiv.org/abs/cond-mat/0406696",[33,34],"Zawadowski, Andor & Kertesz (2006), Quantitative Finance 6(4):283-295 (RePEc record)","https://econpapers.repec.org/RePEc:taf:quantf:v:6:y:2006:i:4:p:283-295",[36,37],"Mu, Zhou, Chen & Kertesz (2010), Order flow dynamics around extreme price changes on an emerging stock market, New Journal of Physics 12:075037","https://doi.org/10.1088/1367-2630/12/7/075037",[39,40],"Rif & Utz (2021), Short-term stock price reversals after extreme downward price movements, Quarterly Review of Economics and Finance 81:123-133","https://doi.org/10.1016/j.qref.2021.05.004",[42,43],"Xiao, Yin & Zhao (2020), Jumps, news, and subsequent return dynamics: an intraday study, Journal of Financial Research 43(3):705-731 (RePEc record)","https://econpapers.repec.org/RePEc:bla:jfnres:v:43:y:2020:i:3:p:705-731","loss",{"status":46,"verdict":44,"period":47,"total_return":48,"cagr":49,"sharpe":50,"deflated_sharpe":51,"max_dd":52,"win_rate":53,"profit_factor":54,"trades":55,"spy_return":56,"spy_cagr":57,"spy_sharpe":58,"spy_max_dd":59,"beta":60,"alpha":61,"cost_share":19,"checks":62},"done","Oct 30, 2023 to Oct 30, 2026",-7.69,-2.63,-2.82,-6.86,-8.96,43.9,0.81,310,88.6,23.54,1.22,-18.68,0.02,-7.22,[63,66,69,72,75,78],[64,65],"Strategies tested together","10",[67,68],"Beta to SPY","0.02",[70,71],"Alpha vs SPY","−7.2% a year",[73,74],"Costs paid","$2,986",[76,77],"Data","1m decisions on 1-minute bars, 754 sessions",[79,80],"Fills","Next open at market, sized at the fill",{"curve":82,"spy":502},{"id":4,"name":5,"bars_label":27,"window":24,"ret":48,"cagr":49,"sharpe":50,"spy":56,"points":83},[84,87,89,91,93,95,97,99,101,103,105,107,109,111,113,116,119,122,125,127,130,132,135,138,141,144,147,150,153,155,157,159,162,165,167,170,173,176,179,182,185,188,191,194,196,199,202,205,207,210,212,215,218,221,224,227,230,233,236,239,242,245,247,249,251,254,257,260,263,266,269,271,274,276,278,280,283,286,288,290,292,295,297,300,302,304,307,310,313,315,318,321,324,327,330,333,336,339,341,344,347,350,353,356,358,361,364,367,369,372,375,377,379,381,383,385,388,390,392,395,398,401,403,406,409,411,414,417,420,422,425,428,431,434,436,439,442,445,447,449,451,454,457,460,462,464,467,470,473,475,478,481,484,487,490,493,496,499],[85,86],"2023-10-30",1,[88,86],"2023-11-03",[90,86],"2023-11-10",[92,86],"2023-11-17",[94,86],"2023-11-24",[96,86],"2023-12-01",[98,86],"2023-12-08",[100,86],"2023-12-15",[102,86],"2023-12-22",[104,86],"2023-12-29",[106,86],"2024-01-05",[108,86],"2024-01-12",[110,86],"2024-01-19",[112,86],"2024-01-26",[114,115],"2024-02-02",0.9987,[117,118],"2024-02-09",0.9947,[120,121],"2024-02-16",0.9939,[123,124],"2024-02-23",1.0002,[126,115],"2024-03-01",[128,129],"2024-03-08",0.9921,[131,129],"2024-03-15",[133,134],"2024-03-22",0.9883,[136,137],"2024-03-28",0.9896,[139,140],"2024-04-05",0.9923,[142,143],"2024-04-12",0.9946,[145,146],"2024-04-19",0.9934,[148,149],"2024-04-26",0.9944,[151,152],"2024-05-03",0.9932,[154,152],"2024-05-10",[156,152],"2024-05-17",[158,152],"2024-05-24",[160,161],"2024-05-31",0.9931,[163,164],"2024-06-07",0.9919,[166,164],"2024-06-14",[168,169],"2024-06-21",0.9885,[171,172],"2024-06-28",0.9898,[174,175],"2024-07-05",0.9905,[177,178],"2024-07-12",0.9888,[180,181],"2024-07-19",0.9893,[183,184],"2024-07-26",0.9878,[186,187],"2024-08-02",0.9956,[189,190],"2024-08-09",0.9913,[192,193],"2024-08-16",0.9891,[195,193],"2024-08-23",[197,198],"2024-08-30",0.9844,[200,201],"2024-09-06",0.9847,[203,204],"2024-09-13",0.9834,[206,204],"2024-09-20",[208,209],"2024-09-27",0.9784,[211,209],"2024-10-04",[213,214],"2024-10-11",0.9804,[216,217],"2024-10-18",0.964,[219,220],"2024-10-25",0.9716,[222,223],"2024-11-01",0.9677,[225,226],"2024-11-08",0.9671,[228,229],"2024-11-15",0.9642,[231,232],"2024-11-22",0.9646,[234,235],"2024-11-29",0.9635,[237,238],"2024-12-06",0.9621,[240,241],"2024-12-13",0.9634,[243,244],"2024-12-20",0.9638,[246,244],"2024-12-27",[248,244],"2025-01-03",[250,244],"2025-01-10",[252,253],"2025-01-17",0.9657,[255,256],"2025-01-24",0.9667,[258,259],"2025-01-31",0.9686,[261,262],"2025-02-07",0.9687,[264,265],"2025-02-14",0.9726,[267,268],"2025-02-21",0.9678,[270,268],"2025-02-28",[272,273],"2025-03-07",0.9703,[275,273],"2025-03-14",[277,273],"2025-03-21",[279,273],"2025-03-28",[281,282],"2025-04-04",0.9724,[284,285],"2025-04-11",0.9727,[287,285],"2025-04-17",[289,285],"2025-04-25",[291,285],"2025-05-02",[293,294],"2025-05-09",0.9629,[296,294],"2025-05-16",[298,299],"2025-05-23",0.9623,[301,256],"2025-05-30",[303,256],"2025-06-06",[305,306],"2025-06-13",0.9705,[308,309],"2025-06-20",0.9736,[311,312],"2025-06-27",0.9735,[314,312],"2025-07-03",[316,317],"2025-07-11",0.9742,[319,320],"2025-07-18",0.9774,[322,323],"2025-07-25",0.9811,[325,326],"2025-08-01",0.9769,[328,329],"2025-08-08",0.967,[331,332],"2025-08-15",0.9694,[334,335],"2025-08-22",0.9755,[337,338],"2025-08-29",0.9747,[340,338],"2025-09-05",[342,343],"2025-09-12",0.9729,[345,346],"2025-09-19",0.9771,[348,349],"2025-09-26",0.978,[351,352],"2025-10-03",0.9779,[354,355],"2025-10-10",0.9743,[357,355],"2025-10-17",[359,360],"2025-10-24",0.9745,[362,363],"2025-10-31",0.9731,[365,366],"2025-11-07",0.9756,[368,366],"2025-11-14",[370,371],"2025-11-21",0.976,[373,374],"2025-11-28",0.9764,[376,374],"2025-12-05",[378,374],"2025-12-12",[380,374],"2025-12-19",[382,374],"2025-12-26",[384,374],"2026-01-02",[386,387],"2026-01-09",0.9768,[389,387],"2026-01-16",[391,387],"2026-01-23",[393,394],"2026-01-30",0.969,[396,397],"2026-02-06",0.9647,[399,400],"2026-02-13",0.9603,[402,238],"2026-02-20",[404,405],"2026-02-27",0.9609,[407,408],"2026-03-06",0.9612,[410,299],"2026-03-13",[412,413],"2026-03-20",0.9563,[415,416],"2026-03-27",0.9599,[418,419],"2026-04-02",0.9611,[421,419],"2026-04-10",[423,424],"2026-04-17",0.9601,[426,427],"2026-04-24",0.9468,[429,430],"2026-05-01",0.9439,[432,433],"2026-05-08",0.9409,[435,433],"2026-05-15",[437,438],"2026-05-22",0.9362,[440,441],"2026-05-29",0.9363,[443,444],"2026-06-05",0.9379,[446,444],"2026-06-12",[448,444],"2026-06-18",[450,444],"2026-06-26",[452,453],"2026-07-02",0.9364,[455,456],"2026-07-10",0.9341,[458,459],"2026-07-17",0.9327,[461,459],"2026-07-24",[463,459],"2026-07-31",[465,466],"2026-08-07",0.9289,[468,469],"2026-08-14",0.9241,[471,472],"2026-08-21",0.9242,[474,472],"2026-08-28",[476,477],"2026-09-04",0.924,[479,480],"2026-09-11",0.9222,[482,483],"2026-09-18",0.9187,[485,486],"2026-09-25",0.9188,[488,489],"2026-10-02",0.9213,[491,492],"2026-10-09",0.9254,[494,495],"2026-10-16",0.9285,[497,498],"2026-10-23",0.9237,[500,501],"2026-10-30",0.9231,[503,504,506,508,510,512,514,516,518,520,522,524,526,528,530,532,534,536,538,540,542,544,546,548,550,552,554,556,558,560,562,564,566,568,570,572,574,576,578,580,582,584,586,588,590,592,594,596,598,600,602,604,606,608,610,612,614,616,618,620,622,624,626,628,630,632,634,635,637,639,641,643,645,647,649,651,653,655,657,659,661,663,665,666,668,670,672,674,676,678,680,682,684,686,688,690,692,694,696,698,700,702,704,706,708,710,712,714,716,718,720,722,724,726,728,730,732,734,736,738,740,742,744,746,748,750,752,754,756,758,760,762,764,766,768,770,772,774,776,778,780,782,784,786,788,790,792,794,796,798,800,802,804,806,808,810,812,814],[85,86],[88,505],1.0463,[90,507],1.0606,[92,509],1.0843,[94,511],1.0953,[96,513],1.1043,[98,515],1.107,[100,517],1.1345,[102,519],1.1444,[104,521],1.1478,[106,523],1.1305,[108,525],1.1514,[110,527],1.1653,[112,529],1.1772,[114,531],1.1928,[117,533],1.2103,[120,535],1.2062,[123,537],1.2264,[126,539],1.2386,[128,541],1.2374,[131,543],1.2358,[133,545],1.2632,[136,547],1.2674,[139,549],1.256,[142,551],1.2382,[145,553],1.1993,[148,555],1.2317,[151,557],1.2395,[154,559],1.2617,[156,561],1.2822,[158,563],1.2832,[160,565],1.2782,[163,567],1.2936,[166,569],1.3149,[168,571],1.3237,[171,573],1.3234,[174,575],1.3476,[177,577],1.3612,[180,579],1.3352,[183,581],1.3229,[186,583],1.2951,[189,585],1.2955,[192,587],1.3475,[195,589],1.3662,[197,591],1.3693,[200,593],1.3124,[203,595],1.366,[206,597],1.3852,[208,599],1.3932,[211,601],1.3968,[213,603],1.4134,[216,605],1.4254,[219,607],1.412,[222,609],1.3933,[225,611],1.4589,[228,613],1.4297,[231,615],1.4529,[234,617],1.4693,[237,619],1.4825,[240,621],1.473,[243,623],1.4483,[246,625],1.456,[248,627],1.4479,[250,629],1.4208,[252,631],1.4619,[255,633],1.4871,[258,621],[261,636],1.4707,[264,638],1.4912,[267,640],1.4686,[270,642],1.4531,[272,644],1.4082,[275,646],1.3757,[277,648],1.3846,[279,650],1.3632,[281,652],1.2407,[284,654],1.3112,[287,656],1.2921,[289,658],1.3511,[291,660],1.3909,[293,662],1.3847,[296,664],1.4577,[298,629],[301,667],1.4488,[303,669],1.4698,[305,671],1.4655,[308,673],1.465,[311,675],1.5122,[314,677],1.5391,[316,679],1.5346,[319,681],1.5446,[322,683],1.5675,[325,685],1.5304,[328,687],1.5686,[331,689],1.5829,[334,691],1.5881,[337,693],1.5871,[340,695],1.5923,[342,697],1.6178,[345,699],1.638,[348,701],1.6334,[351,703],1.6518,[354,705],1.6115,[357,707],1.6395,[359,709],1.6709,[362,711],1.6829,[365,713],1.6565,[368,715],1.6576,[370,717],1.6274,[373,719],1.6866,[376,721],1.6927,[378,723],1.6834,[380,725],1.6843,[382,727],1.7085,[384,729],1.6919,[386,731],1.7178,[389,733],1.7122,[391,735],1.7055,[393,737],1.7117,[396,739],1.7086,[399,741],1.6878,[402,743],1.7059,[404,745],1.6976,[407,747],1.6639,[410,749],1.6386,[412,751],1.6109,[415,753],1.5724,[418,755],1.6277,[421,757],1.6856,[423,759],1.7625,[426,761],1.7723,[429,763],1.7886,[432,765],1.83,[435,767],1.832,[437,769],1.8502,[440,771],1.8783,[443,773],1.8299,[446,775],1.8407,[448,777],1.8583,[450,779],1.8204,[452,781],1.8524,[455,783],1.8788,[458,785],1.8481,[461,787],1.8383,[463,789],1.8594,[465,791],1.9237,[468,793],1.9312,[471,795],1.905,[474,797],1.9143,[476,799],1.9162,[479,801],1.9019,[482,803],1.9016,[485,805],1.9243,[488,807],1.9202,[491,809],1.9421,[494,811],1.9024,[497,813],1.8958,[500,815],1.886,1794261303666]