The January effect is a hypothesis, and like all calendar-related effects, suggests that the markets as a whole are inefficient, as efficient markets would naturally make this effect non-existent. The January effect seems to affect small caps more than mid or large caps because they are less liquid.
Since the beginning of the 20th century, the data suggests that these asset classes have outperformed the overall market in January, especially toward the middle of the month.
-- Investopedia
The January effect offers an opportunity to curate watchlist for the year based upon stocks that have a tendency to outperform. In order to take advantage of this I've opted to screen and take the top 250 stocks from each list during the first, second, and final trading week of the month. In addition to candidates likely to outperform, clusters will emerge from these lists offering clues to potential themes to exploit over the trading year.
One of the first screens I is the accumulation of price * volume over a 5 day period on the IWM specifically, and my complete universe overall.
IWM:
ROKU,LOXO,WTW,FIVE,RH,ETSY,TTD,IDTI,DECK,CIEN,MEDP,ESL,SWN,MB,CBRL,BBBY,AEO,CLF,TNDM,PLNT,TDOC,WWE,GME,OLLI,NTRI,OAS,ZS,ENTG,HUBS,SAVE,P,PTLA,NXST,BOX,LGND,LITE,AYX,PLCE,INGN,COUP,ICPT,PENN,HQY,CVNA,YELP,ARRY,CLVS,IRBT,ESPR,ANF,SAFM,EAT,DK,TVPT,GMED,PLAY,TREE,STMP,CREE,CRC,PCRX,LPX,MTDR,CPE,KBR,NYT,IMMU,PEB,NEWR,FNSR,CUZ,CAR,HAE,TREX,TECD,SAM,CLDR,AMED,IMPV,VAC,FOLD,MNK,DSW,JACK,CAKE,SIG,ISBC,WMGI,MYGN,NUVA,HTZ,LIVN,CADE,INSM,CRUS,CROX,AAXN,BXMT,BEL,MTZ,FGEN,THC,SBRA,TXRH,GBT,GKOS,HRTX,ERI,WING,SFLY,PDCE,MDSO,ATRA,DDS,DNR,ELLI,MTG,FIVN,ENDP,ATI,I,BYD,GDOT,RARE,MDGL,AVA,SBGI,SNX,HELE,CRZO,MUSA,SEAS,MYOK,ESIO,ABM,LAD,ACAD,LANC,BIG,SLCA,MED,RAMP,PDCO,DORM,SBH,EVBG,CHDN,KBH,DIN,APTI,SYNH,MDR,GPOR,TMHC,BJ,SGMS,RLJ,DO,PTCT,CACI,BEAT,AKS,CRCM,SHAK,NVRO,SKT,CHGG,RETA,BECN,FFIN,MMS,AXGN,MRTX,VKTX,SEND,VSH,BCO,NTGR,TGNA,CMC,NSP,ARWR,CVLT,IDA,MDCO,LGIH,IBTX,MBFI,FR,NJR,STAG,ILPT,IIVI,BDC,FIT,MRT,EBS,BLMN,COLD,ASGN,KMT,NVAX,AMN,SHO,AAN,POR,BTU,RCII,HOME,BID,ARLO,DAN,GHDX,FIZZ,BJRI,WWW,ALRM,IDCC,ATGE,CDNA,IRTC,BPMC,IPHI,JCOM,FII,DY,EGP,OPK,ARNA,VG,ARI,MMSI,IBKC,CHS,HWC,TVTY,OSTK,HZNP,EDIT,WWD,ADC,MNRO,EYE,SRCI,UNFI,SAIC,SF,PDM,PBYI, AMBA
Universe:
SPY,AMZN,QQQ,AAPL,NFLX,IWM,MSFT,FB,EEM,EFA,TSLA,HYG,CELG,BABA,GOOGL,NVDA,TLT,AMD,GOOG,VXX,IVV,BAC,BMY,JPM,XLF,GLD,DIA,V,LQD,BA,TQQQ,FXI,XLE,XLV,EWZ,T,INTC,BRKB,C,XLK,VOO,AVGO,XLI,GE,SQ,GDX,XLU,CSCO,IEF,XOM,WFC,MU,UNH,IYR,XLP,PFE,MRK,AGG,IEMG,JNJ,DIS,VNQ,IEFA,CRM,VZ,VEA,CMCSA,MA,PG,SQQQ,PYPL,ORCL,JNK,VWO,VTI,HD,ADBE,WMT,CVX,SBUX,TVIX,IWD,SLB,MDT,ROKU,GS,XLY,QCOM,XOP,EWJ,GILD,SMH,AMGN,TXN,MDY,ABBV,XBI,BKNG,DWDP,CAT,BIL,FRC,KO,TMO,PEP,SHV,UVXY,ABT,UTX,LLY,TWTR,EMB,BIDU,CI,LOXO,UNP,NKE,MCD,MO,AABA,IBM,IWF,MS,DAL,CVS,AMAT,COST,IJH,SH,D,MMM,KRE,TWLO,PM,XLB,BIIB,JD,FDX,SHY,STZ,IJR,ANTM,CHTR,GDXJ,ACWI,NEE,LOW,AGN,RHT,WBA,EA,NOW,ATVI,BND,HON,BSV,PBR,AXP,ISRG,F,COP,MPC,BKLN,IVE,VTV,WDAY,IWB,CMG,VALE,FOXA,CSX,SPXL,DLTR,USMV,EOG,CME,USO,TGT,TSM,DE,SSO,USB,EBAY,AMT,OXY,GM,SHPG,VGK,SDS,KHC,LMT,XRT,ALGN,WYNN,REGN,HUM,HAL,BDX,ACN,PXD,AZO,NXPI,VLO,SCHW,AMLP,ILMN,SHW,ORLY,IVW,IBB,INTU,VMW,MDLZ,CL,TJX,BLK,HES,LULU,ADP,UPS,AAL,IAU,UGAZ,MCHI,UAL,DELL,BP,PCG,BAX,SPXS,TNA,XLRE,DGAZ,STI,SPXU,RTN,SO,DG,LIN,EL,PSX,KSS,NSC,TMUS,PNC,SYK,NOC,EMR,WMB,KMB
5 Day % Change IWM:
LOXO,PIR,INSM,BW,AAC,CTIC,IO,VRCA,LCI,ROKU,CNST,EQ,RETA,MGEN,CRR,BAS,TTPH,AKAO,BRS,EPZM,EPE,SNDX,NEOS,FTK,EOLS,TWI,AGEN,FATE,NVTA,AXDX,NH,IMDZ,ARQL,SPRO,SURF,LTS,GTXI,LGIH,NE,TXMD,CRBP,AGE,CLVS,PLUG,HPR,ACHN,CBIO,PYX,ENDP,ESTE,JCP,BPMC,KALA,NSTG,GTT,STRO,RMTI,SNNA,ADMA,CPE,CHRS,AREX,CBAY,ARDX,MLNT,MARK,IDRA,AUBN,WTI,FET,AVEO,RDC,INO,TTI,FPI,JNCE,TRXC,ASNA,PFNX,GME,CPRX,ARRY,OSG,KOPN,YRCW,PFIE,GEN,PES,CWH,OCN,KEG,VTL,DMRC,PTLA,HLX,CENX,CRC,SRCI,AYX,DCPH,LLEX,SGRY,MDR,HCHC,MPAA,PENN,IMGN,ROSE,OII,DRQ,NVAX,MTDR,TLGT,ALNA,OVID,EVC,BZH,XOMA,YMAB,BRY,GERN,HOME,MRNS,SSTI,RARX,TWST,SFS,FTR,DNR,SEND,ZGNX,TGTX,NCSM,RCM,GMS,LQDT,IIIV,OIS,ARVN,AXAS,RAD,CWBR,BBGI,CARA,REI,OPK,ONCE,OPTN,PBYI,SUM,UNT,TK,VSTM,DF,WLH,MCRB,NOG,AQST,AROC,AMWD,CDMO,RTW,ETM,DWSN,NYMX,ASNS,CRVS,MNLO,CCS,SEMG,AMPE,GNK,VCYT,ZEUS,ARWR,CHUY,IRWD,FOSL,BOLD,ICPT,AKRX,IOTS,INSP,SWN,INAP,VHC,TCI,SN,SPN,QHC,HRI,GRTS,TPHS,SPPI,RECN,OSTK,PGNX,CNCE,OLLI,PDCE,KOP,MNK,DO,MXWL,VHI,MRT,FI,CNSL,NWHM,NNBR,TGH,HK,FIVE,IMH,ESCA,RPD,SVMK,BOOT,CLF,MBIO,CTT,VRAY,SYRS,SGMO,ALDX,NR,CBL,MHO,IBP,RYAM,TIVO,CVIA,REPH,ICD,SLDB,AMR,UEIC,KDMN,PKE,BLCM,BTX,MRTX,RRGB,HEES,SGYP,ASC,GBL,CLNE,MRC,GPOR
Universe:
AXSM,LXFT,LOXO,PIR,ADXS,INSM,BW,MYND,SAGE,IPIC,QEP,TMDI,HAIR,EDGE,SCYX,AAC,MICT,CTIC,HSGX,IO,GNCA,ASV,VRCA,LCI,DDMX,ROKU,CNST,CLMT,CLPS,OXBR,EQ,CNET,RETA,CAPR,SNSS,CGIX,JAGX,BLPH,SPHS,MGEN,LABU,SXE,NDRA,CRR,BAS,SITO,TTPH,PRT,YTEN,AKAO,CHKE,LPTX,EPZM,BRS,SMMT,LEU,LGCY,FLGT,EPE,GUSH,DRIOW,DXR,SNDX,BPMX,NEOS,SUNW,TLC,LENS,TRCH,HYRE,WPRT,NMM,NNA,HHS,IPWR,RWLK,NVUS,FTK,MTNB,IZEA,EOLS,CNAT,CELGZ,MXC,CVEO,AZRX,TWI,AGEN,FATE,FGP,NAVB,NVTA,HZN,AXDX,NH,IMDZ,CDTX,BTAI,SOLO,CHAP,PMTS,GALT,CPAH,CRK,ARQL,SCKT,DCAR,SPRO,SURF,AUMN,DISCB,CRIS,LTS,SHIP,CRMD,GTXI,AVXL,LGIH,NE,PLL,NEPT,TXMD,NBR,ARC,SEED,CLIR,CRBP,INS,EFOI,AGE,HTBX,CLVS,TCON,ACET,PLUG,HPR,ACHN,EXAS,CBIO,CELG,PYX,ENDP,STON,ESTE,DMPI,JCP,CIFS,HOS,INSG,KOOL,BPMC,PSTI,PETZ,VISI,SQNS,VRML,IGLD,EVER,ESV,KALA,GEVO,CRSP,ESEA,NSTG,NVFY,BE,PVL,GTT,URGN,SORL,BLDP,WKHS,APRI,APPS,DVCR,STRO,GSM,RMTI,CKPT,TOPS,DPW,SNNA,ADMA,OPI,CPE,WFT,CHRS,CFMS,AREX,TSQ,PRVB,AMID,ALT,BVXV,DLNG,ECT,CBAY,ARDX,LONE,MLNT,MARK,IDRA,AUBN,WTI,FET,NAUH,IFMK,PLYM,HUYA,CHEK,VLRX,AVEO,SNDE,DXYN,RDC,INO,PULM,TTI,FPI,BKYI,AVP,JNCE,CSBR,CLRB,VBLT,BCOM,ISR,DNJR,CNFR,CCLP,MVIS,TRXC,ASNA,PFNX,DRYS,VVUS,BPT,MN,GME,TIS,CPRX,AMCN,ARRY,MBRX,CTRV,XENE,CUR,OSG,WLL,KOPN
