Within-Sector Beta-Residual Weekly Reversal, Sector-Neutral Long-Short on 24 US Large Caps (USEQ 1-DAY, sector ETFs as signal reference only)

A sector-neutral, dollar-neutral, multi-instrument LONG-SHORT short-term reversal strategy on US equities (venue USEQ, 1-DAY bars, UsEquitiesCollector Yahoo split-adjusted daily history; every leg verified in the local catalog back to at least 1999-05). Academic basis: Da, Liu & Schaumburg (2014, Management Science, 'A Closer Look at the Short-Term Return Reversal') and Hameed & Mian (2015) show that the classic 1-week reversal is weak in raw returns because industry momentum offsets it. Once the industry/sector component is removed, the remaining idiosyncratic residual reverses strongly. The reversal comes from liquidity provision to non-informational order flow. Universe: 4 sectors × 6 names. Technology: AAPL, MSFT, NVDA, ORCL, CSCO, ADBE (reference XLK). Financials: JPM, BAC, WFC, C, GS, MS (reference XLF). Energy: XOM, CVX, COP, EOG, SLB, OXY (reference XLE). Health care: JNJ, PFE, MRK, ABT, UNH, LLY (reference XLV). Sector ETFs are SIGNAL-ONLY and never traded. Each weekly rebalance, compute each stock's residual return over the last `lookback_days` sessions: resid_i = r_i − beta_i × r_sector. beta_i is a rolling 120-session OLS beta to its sector ETF, clipped to [0.3, 2.0]. Scale it by the stock's own 60-session daily residual vol to get z_i. Within EACH sector, go long the `n_per_side` most-negative z and short the `n_per_side` most-positive z, equal dollar. That gives sector-neutral and dollar-neutral construction, so market and sector beta are largely hedged out. The trigger is a market observation (cross-sectional residual rank), not a calendar date. The weekly cadence is only the evaluation clock. This is a different family from the dead crypto cross-sectional reversal: it runs on a zero-commission venue and uses residuals hedged against sector ETFs. It is also not dual-class pairs (that died at QA on a 0.04% convergence threshold) and not PEAD (that died on a sandbox timeout). IMPLEMENTATION NOTE (sandbox timeouts killed several multi-instrument daily runs): keep fixed-length deques per instrument and update rolling sums incrementally in on_bar/on_extra_bar. Do the O(N) ranking ONLY on the rebalance bar, once every instrument has printed the same session date. Never rescan history. Venue rationale: USEQ is 5.6% of the corpus, and long-short is under-represented (16.8%). The BINANCE concentration (61.9%) and BTC are avoided entirely.