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