Weekly Stock Reversal Strategy Using Recent Returns

Summary

This algorithm describes a weekly long-short strategy among large U.S. equities. It first filters for liquid stocks, then selects the largest companies by market capitalization. From that group, it buys the ten stocks with the weakest returns over the prior week and shorts the ten with the strongest returns over the prior month. The portfolio is rebalanced weekly, with equal allocations within each side and matched long and short exposures.

The supplied implementation uses daily adjusted prices and rolling return windows, applies leverage, and specifies a custom fee model. It is code for a backtest framework, not evidence that the approach is profitable: no performance results, benchmark comparison, or sensitivity analysis are reported. The universe prefilter is also narrower than the strategy’s stated market-cap universe, and the implementation’s short-selection logic and timing should be reviewed before relying on its behavior.

Key ideas

• The strategy buys recent weekly losers and shorts recent monthly winners.
• It ranks stocks by market capitalization after filtering for liquidity and fundamental data.
• The portfolio is rebalanced weekly with equal weights on each side.
• The source provides an implementation but no backtest results or evidence of profitability.

Tags

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