Earnings Surprise Strategy

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Earnings Surprise Strategy

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Momentum Seasonal Trends Risk Management

The algorithm acquires securities with a high possibility of having a earning surprise BT days before earnings announcement.
After earning announcement retains securities with a positive earning surprise greater than x threshold and a price impact greater than y threshold. This indicates a market correction relative to previous expectations.
Securities that meet this filter are held for AT days after earnings announcement and other securities are liquidated.

Base Universe:
- Q1500US
Market Risk:
- Determined by "Downside Protection Model - Wes Grey"
Risk management (inspired from Trout Trading Fund):
- Loss limit of 1.5% on every single trade; will liquidate trade if breached.
- Loss limit of 4% of total equity on every day; will liquidate all positions and stop trading for the rest of the day.
- Loss limit of 10% of total equity per month; will liquidate everything and stop until next month.

The objective of this strategy is to maximize earnings impact.
The strategy trades using quantopian default commission and slippage requirement.

I would like any feedback regarding the eligibility of this strategy for contest and allocation.

5 responses

Settings: From 2006-05-28 to 2017-05-04 with $1,000,000 initial capital
Hedged with SPY short with target beta 3.0
Target Leverage: 2.9 Equity, 0.1 Cash, 3.0 Total
Target Exposure: 1.6 Long, 1.3 Short, 0.3 Net

Settings: From 2006-05-28 to 2017-05-04 with $1,000,000 initial capital
Unhedged with 1.0 Leverage
Target Leverage: 1.0 Equity
Target Exposure: 1.0 Long, 1.0 Net

Settings: From 2006-05-28 to 2017-05-04 with $1,000,000 initial capital
Unhedged with 2.0 Leverage
Target Leverage: 2.0 Equity
Target Exposure: 2.0 Long, 2.0 Net

Settings: From 2010-01-02 to 2017-05-04 with $1,000,000 initial capital
Hedged with SPY short with target beta 3.0
Target Leverage: 2.9 Equity, 0.1 Cash, 3.0 Total
Target Exposure: 1.6 Long, 1.3 Short, 0.3 Net

Settings: From 2010-01-02 to 2017-05-04 with $1,000,000 initial capital
Unhedged with 1.0 Leverage
Target Leverage: 1.0 Equity
Target Exposure: 1.0 Long, 1.0 Net

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

About Quantopian

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.