Cross-Sectional Stock Selection Using Ten-Day Lows

Summary

This note describes a two-stage ranking factor for equities. For each stock, it ranks the recent ten-day low-price observations through time, then ranks those values across stocks on the same date. The intended interpretation is that a larger final factor identifies stocks whose current low-price observation is relatively near the bottom of its own recent range, while smaller or negative values indicate greater distance from that low. The factor is presented as the negative of the cross-sectional rank of the time-series rank.

The document supplies the factor expression and an explanatory interpretation, but no portfolio construction rules, rebalancing schedule, universe definition, or backtest results. It does not establish whether selecting high or low factor values predicts returns, and gives no evidence about costs or risk. The idea is best treated as a factor definition that requires clarification of ranking conventions and empirical testing before use.

Key ideas

• The factor first ranks each stock’s low prices over a ten-trading-day window.
• It then ranks the resulting time-series values across stocks on the same date.
• The negative sign is intended to make higher factor values correspond to proximity to the recent low.
• The document provides no return evidence, portfolio rules, or transaction-cost analysis.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.