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>
59 lines
2.8 KiB
Markdown
59 lines
2.8 KiB
Markdown
# Earnings Task 2a - gap diagnostic
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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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