Earnings Announcement Reversal

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

Details

• 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.FromMinutes(5).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