A5 · Mechanical Reversion

A reversion setup: a stock forced down by index rebalancing or a VIX-spike risk-off, more than its beta to the market explains.

The short code A5 is display metadata only. The canonical identifier this archetype is keyed by everywhere — config, the screener_candidates.archetype column, the scorer emit — is the descriptive string mechanical_reversion.

Thesis

Some selling has nothing to do with a company and everything to do with the calendar or the tape. Index reconstitutions force funds to dump deletions and trim weights on a schedule; tax-loss season pressures losers into December; a VIX spike triggers blanket de-grossing across risk-parity and vol-target books. This selling is price-insensitive — the seller has to transact regardless of value. When a name falls more than its beta to SPY can account for during one of these mechanical events, the excess is a non-fundamental dislocation that tends to snap back once the forced flow clears. The edge is the beta residual harvested on a known mechanical trigger.

Direction

LONG. It buys the over-shoot left behind by forced, price-insensitive sellers.

What it looks for

The evaluator (evaluate_mechanical_reversion); thresholds from screener_config.json § archetypes.a5:

• Mechanical trigger — the date falls inside a configured rebalance_windows entry (S&P quarterly rebalance windows, the December tax-loss period; the calendar is the SSOT in config, not hardcoded) OR a VIX spike with vix_close >= vix_spike_threshold=30.0.
• Beta residual — beta_residual_pct = own_ret_pct − beta_60d × spy_ret_pct, fired when it falls at or below beta_residual_floor=-2.0 percentage points (the stock dropped more than its market beta explains).
• Quality gate pass — a fail is hard-disqualifying.

How it scores

The score is abs(beta_residual_pct) — the larger the unexplained, beyond-beta drop, the higher the rank. The state machine:

• none — quality fail, or no mechanical trigger (not in a rebalance window and VIX below 30).
• partial — a mechanical trigger fires but the beta residual is above the floor (the drop is within what beta explains).
• primed — mechanical trigger AND a beta residual below the floor. The firing candidate ranked toward S2.

Pitfalls / when it fails

• Mechanical flow can persist. A rebalance unwind or a vol-target de-gross can run for several sessions; entering on day one of the forced selling can mean more pain before the snap-back.
• The Russell reconstitution gotcha. Adds and deletes cut opposite ways — config notes this; a name being added to an index gets mechanical buying, not selling, so the window logic must be read with direction in mind.
• Missing inputs degrade the read. The residual needs ret_1d, beta_60d, and SPY’s same-day return (from screener_features_daily for SPY); if SPY has no features row or VIX is absent from daily_signals, the residual is unavailable and the state can fall back to partial.
• Beta drift. As with A2, beta_60d is trailing and can misstate the market-explained portion in a regime shift.

Related

• The Screener System (vision)
• Screener Pipeline & Lifecycle (operations)
• Mechanical reference cards: Score · State · Triggers
• Sibling archetypes: A2 · Oversold Sympathy · A1 · Post-Earnings Overreaction