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dennisthiessenandClaude Fable 5 c7c60a64f2 research: Task 2 closed — SUE dead, earnings gap informational

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>

2026-07-20 21:10:46 +02:00

2.7 KiB

Raw Blame History

Earnings Task 2b - SUE / PEAD

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 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.

2.7 KiB Raw Blame History

Earnings Task 2b - SUE / PEAD

Data quality gate

Experiment 2b - SUE / post-earnings drift

2.7 KiB

Raw Blame History