Large caps
The biggest companies on the market by value.
Large caps are the companies with the largest market value, the few hundred biggest names on an exchange. They are the most traded, the most watched, and the cheapest to buy and sell, which is why most strategies sold to beginners are pitched on them.
They are also where published anomalies go to die first. An effect discovered across thousands of stocks, small ones included, is usually strongest in the small, ignored names and weakest in the large ones, where thousands of professionals compete for every basis point. Several logbook entries found an effect alive in the literature and absent in large caps.
When an entry says "US large caps", read it as: the liquid universe a real account can trade, and the hardest place for an edge to survive.
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Where this word comes up
First needed in the log entry H-042 · The post-earnings bounce did not survive our cost assumptions.
From the same entry: Backtest, Basis point, Buy the dip, Correction for looking twice, Gross edge, Index membership, Net return, Post-earnings drift, Pre-registration, Published anomaly, Quarterly results, Real costs, RSI indicator, Short side, Survivors only, Terciles.