quantlab.factor.predefined.short_horizon#

Short-horizon equity factors from the literature on next-day and next-week returns, as one KunQuant graph.

Each output is one published mechanism, signed so the literature expects a positive relation with the next returns:

reversal_<k>: minus the k-bar close-to-close return, the short-term reversal (Jegadeesh 1990; Lehmann 1990). Neutralized against industry (NeutralizedFactor), it is the industry-relative reversal of Da, Liu and Schaumburg (2014).
low_max_<n>: minus the largest one-bar return over n bars, the lottery preference of Bali, Cakici and Whitelaw (2011).
turnover_momentum_<k>: the k-bar return times the stock’s centered cross-sectional rank of turnover (mean dollar volume over the same k bars divided by market cap): momentum among high-turnover stocks, reversal among low-turnover ones (Medhat and Schmeling 2022).
abnormal_volume: the log of the bar’s volume over its mean of the last volume_window bars, the high-volume return premium of Gervais, Kaniel and Mingelgrin (2001).
overnight_<n> and intraday_<n>: the mean overnight (open over the previous close) and intraday (close over open) returns over n bars; each component persists on its own (Lou, Polk and Skouras 2019).

Ranks (KunQuant Rank) are taken over every symbol of the panel, so build it on the whole market and read it on a roster.

Classes

Short-horizon literature factors on daily bars: reversal, MAX, turnover momentum, volume, return components.