Hey, good to chat yest. Quick thought on the high price / low price anomaly you mentioned you've seen (the positive alpha of (highest priced 20 - lowest priced 20(over $5))..... Is there a survivorship bias in the low end? If not, ie, persists over the most recent period and you've included stocks that were in that low price area during the test, then the other thought I had is that maybe its one or the other, ie are both ends of the price vector moving abnormally vs the universe or is it just the low end (my guess for what it ends up being is that the low end is providing most of the alpha [low%chg - univ%chg > high%chg - univ%chg] ).
It's possibly a real anomaly. And it makes sense to some extent, b/c of some institutions' avoidance of low priced stocks, and other people's preference for lower priced stocks for 'big moves', causes there to be an artificial 'slippery spot' or boundary on the price vector where that price is - and many people use $5. Which could explain the outperformance of stocks at just over $5.
I'll run a few studies on my end and have some screenshots for you.
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