dennisthiessenandClaude Fable 5
c7c60a64f2
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>
168 lines
7.0 KiB
Markdown
168 lines
7.0 KiB
Markdown
# Earnings gap diagnostic + SUE / PEAD (Tier-1 alpha research)
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**Status:** **CLOSED — SUE DEAD**.
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**Branch:** `research/earnings-gap-and-sue`
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**Production impact:** none. Local research only; no earnings filter or SUE integration is shipped.
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---
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## Pre-registration (locked before the final research run)
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### Data
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- Historical earnings announcements for the production universe, stored in the
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real `earnings_events` table and deduplicated on symbol + announcement date.
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- The originally requested 2016 start is amended, with user approval, to the
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public source's announcement coverage start of 2020-01-22. Earlier EPS-period
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history may scale later surprises but may never activate a live signal.
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- Report coverage, pairing, duplicates/restatements, annual-rate sanity, and
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announcement-session quality before either experiment.
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- Point-in-time: an earnings surprise is usable only from announcement date +1
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trading day. Same-day use is forbidden.
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### Experiment 2a — earnings-gap risk (defense, report-only)
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Run the production-config book on the approximately 505-name production
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universe with close fills and 0.001 transaction cost per side. Join simulated
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trades to earnings by symbol and date.
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1. Among closed trades with realized net R ≤ -1.0, report the fraction with an
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announcement strictly after entry and before exit, alongside the base rate
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for all trades.
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2. Compare entries within three trading sessions before an announcement with
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all other entries: count, mean/median R, win rate, p05, and p95.
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3. Compare stops within one trading session after an announcement with all
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other stops and exits.
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Verdict is always `INFORMATIONAL`. Report only: no filter arm, recommendation,
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or implementation. The right tail must be shown alongside the left tail.
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### Experiment 2b — SUE / PEAD (offense)
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Signal `sue_latest`:
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\[
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\text{SUE} = \frac{\text{actual} - \text{estimate}}
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{\sigma(\text{trailing 8 surprises})}
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\]
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Use at least four trailing surprises; if estimate history fails the registered
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quality gate, use `(actual - estimate) / price` and name that fallback. Activate
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at announcement date +1 trading day, carry for 63 trading days, then drop the
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symbol from the cross-section.
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Evaluate mean weekly Spearman IC on the existing non-overlapping-window harness.
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Always report `sue_latest`, `mom_12_1`, and `mom_12_1_resid` on identical
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week-symbol-forward-return cells, plus SUE inside the top momentum quintile.
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### Mechanical verdict rule
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- **PASS** only if unconditional `sue_latest` has mean IC ≥ +0.03,
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`reliable: true` (at least 12 windows), and positive signs in both the pre-2021
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and post-2021 eras.
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- **FAIL** otherwise, with terminal verdict `SUE DEAD for this stack`.
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- PASS stops at `SUE PASS→PENDING_HUMAN`; integration design remains a separate
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human decision. FAIL is terminal and no variants are proposed.
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---
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## Results
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### Data quality gate
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Approved earnings window: 2020-01-22 to 2026-07-17. Source mode: dolthub_public_bulk_clone.
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| check | result |
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|---|---:|
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| Prod symbols requested / tradable | 506 / 505 |
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| Manifest complete + live counts match | True |
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| Prod symbols with pre-2021 bars | 491 (97.2%) |
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| SPY benchmark depth | 2649 rows, 2016-01-04 to 2026-07-17 |
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| Snapshot depth gate | True |
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| Bulk source windows / requests logged | 1/1 / 1 |
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| Source repository / pinned commit | https://www.dolthub.com/repositories/post-no-preference/earnings @ 9n0et3hpj9j7vue8f3qsldon3qa5sdjj |
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| Source license / upstream provider documented | CC-BY-SA-4.0 / False |
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| Existing-source conflicts preserved | 940 rows / 1526 fields |
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| Symbols with >=8 announcements | 498 (98.6%) |
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| Symbols with >=8 paired announcements | 495 (98.0%) |
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| Events with estimate + actual | 12311/12414 (99.2%) |
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| Duplicate rows in keyed table | 0 |
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| Duplicate / restated payload rows fetched | 0 / 940 |
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| Mean announcements per active symbol-year | 4.08 (expected about 4) |
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| Symbols far off (<2 or >6/year, incl. zero) | 1 |
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| Recognised BMO/AMC/during | 92.8% (reliable=True) |
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| Point-in-time policy | announce_date_plus_1_trading_day_for_all_events |
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| SUE price fallback | not_used |
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Deduplication: UNIQUE(symbol, announce_date); normalise dot/dash symbols; retain one calendar row per key; preserve existing non-null session/EPS values from the prior FMP/Alpha Vantage partial backfill, then fill nulls and all remaining symbols from DoltHub; attach DoltHub period-end alignment
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Far-off announcement-rate symbols: SPCX
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### Experiment 2a - earnings-gap risk diagnostic
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Verdict: **INFORMATIONAL**. Report-only; no filter arm or implementation.
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Trade cohort is restricted to the approved earnings-coverage window 2020-01-22 to 2026-07-17; 0 simulated trades outside that window were excluded.
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| cohort | count | fraction |
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|---|---:|---:|
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| Realized net R <= -1.0 | 266 | - |
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| Losses with announcement strictly inside hold | 23 | 0.0865 |
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| All trades with announcement strictly inside hold | 115 | 0.2003 |
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| Entry cohort | count | mean R | median R | win rate | p05 R | p95 R |
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|---|---:|---:|---:|---:|---:|---:|
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| Within 3 sessions before earnings | 27 | 0.4837 | -1.0265 | 0.3333 | -1.1463 | 5.981 |
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| All other entries | 547 | 0.2734 | -0.8316 | 0.3565 | -1.1228 | 4.5888 |
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Tail deltas (pre minus other): p05=-0.0235, p95=1.3922.
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Registered directional tail condition is not present.
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| Exit cohort | count | mean R | median R | win rate | p05 R | p95 R |
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|---|---:|---:|---:|---:|---:|---:|
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| Stops within 1 session after earnings | 26 | -0.6434 | -0.9753 | 0.2308 | -2.4614 | 1.1142 |
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| All other stops | 433 | -0.5035 | -1.0278 | 0.1963 | -1.1373 | 1.3591 |
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| All other exits | 548 | 0.3273 | -0.8361 | 0.3613 | -1.0644 | 4.7224 |
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### Experiment 2b - SUE / post-earnings drift
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Mechanical verdict: **FAIL** - SUE DEAD for this stack
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Identical cross-sections:
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| signal | mean IC | t | windows | avg N | IC positive % | reliable |
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|---|---:|---:|---:|---:|---:|---|
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| sue_latest | 0.0148 | 1.27 | 56 | 450.9 | 51.8 | true |
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| mom_12_1 | 0.0195 | 0.74 | 56 | 450.9 | 58.9 | true |
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| mom_12_1_resid | 0.0262 | 1.07 | 56 | 450.9 | 55.4 | true |
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Unconditional SUE grade row:
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| signal | mean IC | t | windows | avg N | IC positive % | reliable |
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|---|---:|---:|---:|---:|---:|---|
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| sue_latest | 0.0151 | 1.29 | 56 | 451.4 | 51.8 | true |
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Era stability:
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| era | mean IC | t | windows | avg N | IC positive % | reliable |
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|---|---:|---:|---:|---:|---:|---|
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| pre-2021 | 0.0286 | 0.7 | 9 | 398.3 | 55.6 | false |
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| post-2021 | 0.0172 | 1.34 | 48 | 461.9 | 64.6 | true |
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Coverage: 501 symbols with live SUE; avg weekly N=453.1; scored non-overlap avg N=451.4.
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Cross-section is not flagged thin at the registered <100-name read.
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Momentum-conditional top-quintile SUE: mean IC=0.0213, t=1.3, windows=56, avg N=89.8.
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## Artifacts
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- `reports/earnings-2a-gap-20260720-dolthub-final.json` and companion Markdown
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- `reports/earnings-2b-sue-20260720-dolthub-final.json` and companion Markdown
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- `reports/earnings-backfill-status.json`
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Production changes: **none**. No earnings filter or SUE integration was implemented.
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## Final status: **Task 2 CLOSED (SUE DEAD)**
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