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research: Task 2 closed — SUE dead, earnings gap informational

Browse Source 
Earnings backfill sourced from the public DoltHub earnings repo at a
pinned commit rather than the FMP API: reproducible for anyone re-running
the study, and it burns no request quota. 12,414 events, 98.6% of symbols
with >=8 announcements, 99.2% paired actual/estimate, no keyed duplicates.

2a earnings-gap diagnostic: INFORMATIONAL, no filter shipped. The
pre-earnings cohort's right tail was better, so the registered
avoid-earnings condition failed. Note the raw 23/266 vs 115/574 incidence
gap is largely a duration confound -- severe losses stop out fast and have
less time to span an announcement -- so it is not evidence that holding
through earnings is safe.

2b SUE: FAIL against the pre-registered +0.03 bar (unconditional IC
+0.0151 over 56 reliable windows, momentum-conditional +0.0213). Signs
stable across eras, so this is a clean null rather than an ambiguous one,
consistent with post-earnings drift having decayed in large caps.

Closes the Tier-1 arc: Task 1 dead on deep evidence, Task 2 dead here,
Task 3 complete as diagnostic. No in-sample research thread remains open.

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
This commit is contained in:
dennisthiessen
2026-07-20 21:10:46 +02:00
co-authored by Claude Fable 5
parent 1fa3d70dec
commit c7c60a64f2
14 changed files with 3705 additions and 1828 deletions
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reports/earnings-2a-gap-20260720-dolthub-final.json
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{
"symbol": "SPCX",
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"bars": 24
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{
"symbol": "Q",
"first_bar": "2025-11-03",
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{
"symbol": "PSKY",
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{
"symbol": "SNDK",
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{
"symbol": "GEV",
"first_bar": "2024-04-02",
"last_bar": "2026-07-17",
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{
"symbol": "SOLV",
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{
"symbol": "VLTO",
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{
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{
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"events_per_symbol_year": {
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"expected": "approximately 4",
"far_off_rule": "active-span rate <2 or >6, plus zero-event symbols",
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{
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"source": {
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},
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},
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"restated_rows": 0,
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},
"pairing": {
"method": "minimum-cost monotonic alignment per symbol",
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-14,
90
],
"matched_calendar_events": 12271,
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"min": -10,
"median": 30,
"max": 89
},
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},
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"RHM",
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"max": "2026-07-17"
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}
},
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"experiment": "2a",
"result": {
"verdict": "INFORMATIONAL",
"costs": {
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"r_is_net_of_round_trip_costs": true
},
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},
"q2_entries_within_3_trading_days_before_announcement": {
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},
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},
"tail_deltas_pre_minus_other": {
"p05_r": -0.0235,
"p95_r": 1.3922
},
"directional_tail_condition_present": false,
"tail_read": "Registered directional tail condition is not present."
},
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"stops_after_earnings": {
"count": 26,
"mean_r": -0.6434,
"median_r": -0.9753,
"win_rate": 0.2308,
"p05_r": -2.4614,
"p95_r": 1.1142,
"min_r": -2.6413,
"max_r": 1.7012
},
"all_other_stops": {
"count": 433,
"mean_r": -0.5035,
"median_r": -1.0278,
"win_rate": 0.1963,
"p05_r": -1.1373,
"p95_r": 1.3591,
"min_r": -6.0161,
"max_r": 19.98
},
"all_other_exits": {
"count": 548,
"mean_r": 0.3273,
"median_r": -0.8361,
"win_rate": 0.3613,
"p05_r": -1.0644,
"p95_r": 4.7224,
"min_r": -6.0161,
"max_r": 19.98
}
},
"implementation": "REPORT_ONLY_NO_FILTER_ARM_NO_FILTER_CHANGE",
"analysis_window": {
"from": "2020-01-22",
"to": "2026-07-17",
"rule": "entry_on_or_after_start_and_exit_on_or_before_end",
"simulation_trades_total": 574,
"trades_excluded_outside_earnings_coverage": 0
},
"run_config": {
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"fill_mode": "close",
"cost_per_side": 0.001,
"momentum_cutoff": 80.0,
"exit_policy": "atr_trail3",
"hold_days": 30,
"max_positions": 10,
"risk_per_trade": 0.01
},
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"end_date": "2026-07-13",
"trades": 574,
"sharpe": 1.03,
"cagr_pct": 22.9,
"max_drawdown_pct": 26.6,
"total_return_pct": 280.6
}
}
}