Generate momentum and mean reversion signals for {{TICKER}}:
MOMENTUM SIGNALS:
1. Price Momentum:
- 1M return percentile (vs. sector)
- 3M return percentile
- 6M return percentile
- 12M-1M return percentile
2. Earnings Momentum:
- EPS revision trend (3M)
- Earnings surprise (last 4 quarters)
- Guidance revision direction
3. Fund Flow Momentum:
- 13F ownership change (last quarter)
- ETF flow impact
- Short interest trend
---
MEAN REVERSION SIGNALS:
1. Price Mean Reversion:
- Distance from 200-day MA (%)
- 52-week high distance
- RSI (14) reading
- Bollinger Band position
2. Valuation Mean Reversion:
- P/E vs. 5-year average
- P/E vs. sector median
- EV/EBITDA z-score
3. Sentiment Mean Reversion:
- Analyst rating extreme?
- Put/call ratio
- Social sentiment extreme
---
COMBINED SIGNAL:
- Momentum score (weighted composite)
- Mean reversion score
- Regime context (trending vs. ranging market)
- Recommended tactical positioning
Comments (0)
Add your comment
No comments yet. Be the first to comment!
Momentum & Mean Reversion Signals
MomentumMean ReversionSignalsSystematic
ThesisBoard
Author
Asset Class:Equity
Research Type:Quantitative
Stance:Neutral