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