A DOLLAR-NEUTRAL, LONG-SHORT, CROSS-SECTIONAL single-stock strategy on the commission-free USEQ venue, built on the lottery-demand / preference-for-positive-skewness anomaly (Bali-Cakici-Whitelaw 'MAX effect'), NOT on momentum, not on cumulative-return reversal, and not on ETF regime rotation. Every 21 trading sessions the strategy ranks a FIXED universe of 30 sector-diverse, pre-1992-listed S&P large caps by their VOL-SCALED MAX score: the average of the two largest single-day returns over the trailing 21 sessions, divided by that stock's own 21-session return volatility. Stocks that have just printed outsized single-day pops relative to their own noise level are the ones retail/lottery demand crowds into; they are the systematic UNDERPERFORMERS of the next month. The book goes SHORT the 5 highest-score names and LONG the 5 lowest-score (boring, no-jackpot) names, equal-weighted, ~8% of equity notional per name (gross ~80%, net ~0). Dividing MAX by the stock's own vol is what makes this a pure SKEWNESS bet rather than a disguised short-high-beta bet: both books end up with similar realized vol, so the strategy is not simply short beta the way a raw-MAX or low-vol sleeve would be.
Why this framing and not another crypto momentum re-skin: (1) it lives on the ONE venue where the factory's #1 killer does not exist — USEQ charges ZERO commission (~0.02-0.05% round-trip spread+impact on these mega-caps) against a per-position expectancy measured in whole percent, so the 489 fee_edge deaths do not apply; (2) it uses the freshest instrument estate we own — 30 individual S&P names with 30+ years of split-adjusted daily bars each, none of them BTC; (3) it is BREADTH-driven, which is precisely what the dead USEQ family (L99: daily ETF macro/regime rotation) lacked — those died overfit on 35-77 rebalances of a single macro timeline, whereas this produces ~10 independent cross-sectional bets per rebalance, ~120/year, several thousand over the available history, so walk-forward windows and the holdout all carry real trade counts; (4) the mechanism is a documented BEHAVIORAL preference (investors overpay for jackpot-shaped payoffs), not a curve-fitted price pattern.
Explicitly distinguished from the abandoned 'US Large-Cap Short-Term Reversal, weekly, ~20 names': that one ranked on CUMULATIVE past-week return (a liquidity-provision/reversal bet, weekly turnover), this ranks on the TAIL of the return distribution (the two biggest single-day prints), normalizes by idiosyncratic vol, and holds a full month. The ranking vectors are only weakly correlated — a stock can be flat on the month and still be top-ranked here if it jumped 9% on one day, and a steadily-drifting-down stock that never popped is a LONG here but would be a long in a reversal book too only by coincidence.