Earnings Announcement Reversal (Python)

The Earnings Announcement Reversal strategy shorts recent winners and buys recent losers on earnings announcement days.

• Entry Criteria: On earnings day, short stocks with positive recent returns and buy those with negative returns.

• Long/Short: Both.

• Exit Criteria: Position adjusted after signal; no explicit holding rule.

• Stops: No.

• Default Values:

• LookbackDays = 5

• HoldingDays = 3

• CandleType = TimeSpan.FromDays(1).TimeFrame() [*]Filters:

• Category: Event-driven

• Direction: Both

• Indicators: Returns

• Stops: No

• Complexity: Intermediate

• Timeframe: Daily

• Seasonality: No

• Neural Networks: No

• Divergence: No

• Risk Level: Medium