Equity lead–lag research
Pricing signals and subsequent equity returns. The original study is preserved exactly — including its one-day gap and overlapping-window limitations.
Headline AEPI × SPY
Prior 3 calendar-day AEPI percentage change · One complete trading-day gap before the outcome starts · subsequent 3-trading-day return.
Tap or hover a point to inspect it. Dashed line: OLS fit on these exact observations.
Correlations by horizon
Pearson r · SPY and AIQ| Horizon (trading days) | SPY r | AIQ r |
|---|---|---|
| 1 | 0.413 | 0.447 |
| 3 | 0.495 | 0.396 |
| 5 | 0.548 | 0.487 |
| 10 | 0.446 | 0.494 |
Principal 3-day SPY result: conventional p 0.0029, HAC p 0.0011, circular-shift p 0.088, sign agreement 70.6%.
Limitations
- Eight weeks of history; overlapping signal and outcome windows.
- Multiple assets, components and horizons examined.
- Reported associations are not net trading returns or established alpha.
- The study used an earlier index history; current revisions do not reproduce its exact inputs.
Prospective protocol
results not yet availableSignal: Composite AEPI, prior 3 calendar days
Primary outcome: SPY: t+1 close to t+2 close
Secondary: SPY: t+1 close to t+4 and t+6 close
Target observations: 100
Reported associations are not net trading returns or established alpha. The study used an earlier index history; current revisions do not reproduce its exact inputs.