Ivolution Research Journal · Working paper
Drift-gated inverse-price and reversal cross-sectional factor
Among point-in-time S&P 500 constituents, a market-neutral cross-sectional portfolio formed from inverse-price rank and short-term reversal only for stocks in a stock-specific positive-drift state earns a positive cost-adjusted next-session return relative to both the ungated composite and matched placebo gates.
Cite as: SYS-08: Drift-gated inverse-price and reversal cross-sectional factor. Ivolution Research Journal.
Publication status
The study is published as a working paper while a required data source remains unavailable. No result exists yet.
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Symbols
SPX · SPY · QQQ
Regimes
Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day
Horizons
1 session