signal-platform/docs/research/earnings-gap-and-sue.md

Earnings gap diagnostic + SUE / PEAD (Tier-1 alpha research)

Status: CLOSED — SUE DEAD. Branch: research/earnings-gap-and-sue Production impact: none. Local research only; no earnings filter or SUE integration is shipped.

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Pre-registration (locked before the final research run)

Data

• Historical earnings announcements for the production universe, stored in the real earnings_events table and deduplicated on symbol + announcement date.
• The originally requested 2016 start is amended, with user approval, to the public source's announcement coverage start of 2020-01-22. Earlier EPS-period history may scale later surprises but may never activate a live signal.
• Report coverage, pairing, duplicates/restatements, annual-rate sanity, and announcement-session quality before either experiment.
• Point-in-time: an earnings surprise is usable only from announcement date +1 trading day. Same-day use is forbidden.

Experiment 2a — earnings-gap risk (defense, report-only)

Run the production-config book on the approximately 505-name production universe with close fills and 0.001 transaction cost per side. Join simulated trades to earnings by symbol and date.

1. Among closed trades with realized net R ≤ -1.0, report the fraction with an announcement strictly after entry and before exit, alongside the base rate for all trades.
2. Compare entries within three trading sessions before an announcement with all other entries: count, mean/median R, win rate, p05, and p95.
3. Compare stops within one trading session after an announcement with all other stops and exits.

Verdict is always INFORMATIONAL. Report only: no filter arm, recommendation, or implementation. The right tail must be shown alongside the left tail.

Experiment 2b — SUE / PEAD (offense)

Signal sue_latest:

[ \text{SUE} = \frac{\text{actual} - \text{estimate}} {\sigma(\text{trailing 8 surprises})} ]

Use at least four trailing surprises; if estimate history fails the registered quality gate, use (actual - estimate) / price and name that fallback. Activate at announcement date +1 trading day, carry for 63 trading days, then drop the symbol from the cross-section.

Evaluate mean weekly Spearman IC on the existing non-overlapping-window harness. Always report sue_latest, mom_12_1, and mom_12_1_resid on identical week-symbol-forward-return cells, plus SUE inside the top momentum quintile.

Mechanical verdict rule

• PASS only if unconditional sue_latest has mean IC ≥ +0.03, reliable: true (at least 12 windows), and positive signs in both the pre-2021 and post-2021 eras.
• FAIL otherwise, with terminal verdict SUE DEAD for this stack.
• PASS stops at SUE PASS→PENDING_HUMAN; integration design remains a separate human decision. FAIL is terminal and no variants are proposed.

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Results

Data quality gate

Approved earnings window: 2020-01-22 to 2026-07-17. Source mode: dolthub_public_bulk_clone.

check	result
Prod symbols requested / tradable	506 / 505
Manifest complete + live counts match	True
Prod symbols with pre-2021 bars	491 (97.2%)
SPY benchmark depth	2649 rows, 2016-01-04 to 2026-07-17
Snapshot depth gate	True
Bulk source windows / requests logged	1/1 / 1
Source repository / pinned commit	https://www.dolthub.com/repositories/post-no-preference/earnings @ 9n0et3hpj9j7vue8f3qsldon3qa5sdjj
Source license / upstream provider documented	CC-BY-SA-4.0 / False
Existing-source conflicts preserved	940 rows / 1526 fields
Symbols with >=8 announcements	498 (98.6%)
Symbols with >=8 paired announcements	495 (98.0%)
Events with estimate + actual	12311/12414 (99.2%)
Duplicate rows in keyed table	0
Duplicate / restated payload rows fetched	0 / 940
Mean announcements per active symbol-year	4.08 (expected about 4)
Symbols far off (<2 or >6/year, incl. zero)	1
Recognised BMO/AMC/during	92.8% (reliable=True)
Point-in-time policy	announce_date_plus_1_trading_day_for_all_events
SUE price fallback	not_used

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

Far-off announcement-rate symbols: SPCX

Experiment 2a - earnings-gap risk diagnostic

Verdict: INFORMATIONAL. Report-only; no filter arm or implementation.

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.

cohort	count	fraction
Realized net R <= -1.0	266	-
Losses with announcement strictly inside hold	23	0.0865
All trades with announcement strictly inside hold	115	0.2003

Entry cohort	count	mean R	median R	win rate	p05 R	p95 R
Within 3 sessions before earnings	27	0.4837	-1.0265	0.3333	-1.1463	5.981
All other entries	547	0.2734	-0.8316	0.3565	-1.1228	4.5888

Tail deltas (pre minus other): p05=-0.0235, p95=1.3922.

Registered directional tail condition is not present.

Exit cohort	count	mean R	median R	win rate	p05 R	p95 R
Stops within 1 session after earnings	26	-0.6434	-0.9753	0.2308	-2.4614	1.1142
All other stops	433	-0.5035	-1.0278	0.1963	-1.1373	1.3591
All other exits	548	0.3273	-0.8361	0.3613	-1.0644	4.7224

Experiment 2b - SUE / post-earnings drift

Mechanical verdict: FAIL - SUE DEAD for this stack

Identical cross-sections:

signal	mean IC	t	windows	avg N	IC positive %	reliable
sue_latest	0.0148	1.27	56	450.9	51.8	true
mom_12_1	0.0195	0.74	56	450.9	58.9	true
mom_12_1_resid	0.0262	1.07	56	450.9	55.4	true

Unconditional SUE grade row:

signal	mean IC	t	windows	avg N	IC positive %	reliable
sue_latest	0.0151	1.29	56	451.4	51.8	true

Era stability:

era	mean IC	t	windows	avg N	IC positive %	reliable
pre-2021	0.0286	0.7	9	398.3	55.6	false
post-2021	0.0172	1.34	48	461.9	64.6	true

Coverage: 501 symbols with live SUE; avg weekly N=453.1; scored non-overlap avg N=451.4.

Cross-section is not flagged thin at the registered <100-name read.

Momentum-conditional top-quintile SUE: mean IC=0.0213, t=1.3, windows=56, avg N=89.8.

Artifacts

• reports/earnings-2a-gap-20260720-dolthub-final.json and companion Markdown
• reports/earnings-2b-sue-20260720-dolthub-final.json and companion Markdown
• reports/earnings-backfill-status.json

Production changes: none. No earnings filter or SUE integration was implemented.

Final status: Task 2 CLOSED (SUE DEAD)