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Short-Term Reversal
A contrarian signal: extreme 5-day moves and an overbought/oversold RSI tend to partially revert.
Formula
Average of the sign-flipped 5-day return t-statistic and the RSI distribution z-score
Interpretation
Unlike the momentum factors, this one is contrarian by design: a sharp short-term move has historically partially reversed over the following days — a distinct effect from multi-month momentum.
What good looks like
A recent sharp decline (oversold) — read as bullish by this factor specifically.
What bad looks like
A recent sharp rally (overbought) — read as bearish by this factor specifically.
Typical range
Z-scored, capped at roughly ±3.
Limitations
Short-term reversal and momentum genuinely pull in opposite directions by design — this is why the composite score can show internal disagreement (see "Conflict" on the research report) rather than a mistake.
How OmniSignal uses it
Short-term reversal and multi-month momentum are two distinct, separately documented effects with different-length lookback windows; merging them into one factor would blur both.
Where it enters the score
Reversal family — its own sleeve, kept separate from Momentum
References
Jegadeesh (1990), "Evidence of Predictable Behavior of Security Returns" · Lehmann (1990), "Fads, Martingales, and Market Efficiency"
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