A lot of the algos that I've written do really well to find short and long entries when the market is stable, but I find that the biggest losses come when earnings come out. Has anyone figures out a way to prohibit trading on a security that is set to release earnings within some time frame.
+1
This would be very useful information, perhaps as a fundamental filter.
Obviously only scheduled releases should be part of the filter, since unexpected events are....unexpected? Would need to be made available in live trading some how.
Just wanted to give a quick update: you can do this by importing EventVestor's Earnings Calendar dataset (https://www.quantopian.com/posts/how-to-reduce-volatility-and-increase-sharpe-by-accounting-for-earnings-announcements) in your algorithms.
It comes with a builtin factor that gives you the business days until and since the next/previous earnings announcement.
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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.
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