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Price Change and Unusual Volume near Earnings
Brian Cahill
posted

I'm looking for some help on creating a notebook/algo for the following. Anyone willing to help me out?

  • Securities that have an earnings date x days away
  • Volume change of these securities over x days
  • Price change of these securities over x days

The goal of the algorithm would be to identify changes in volume and price as earnings approaches. If volume is high and % price change is negative, go short. If volume is high and % price changes is positive go long.

A backtest would determine if there is a correlation between price and volume near earnings by going long or short and holding for x number of days.

1 response
Luca

There should already be part of this study covered by Seong Lee's notebooks (the price impact, not the volume if I remember correctly). Have you already tried searching in the forum "earnings"?
If the results don't suit you, then you can simply collect the earnings dates and then run the event study NB on those dates and that gives you the price analysis X days before - Y days after. Then you can modify the event study NB to analyse the volume too (it should be trivial but it requires some time).

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