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Earnings Surprise Strategy

by QuantShare, 2267 days ago
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This strategy is based on earnings surprise data and it consists of the following trading rules:

Buy Rules:
- Today's Earnings surprise is higher than 5%, which means the actual EPS is 5% higher than EPS consensus (expected earnings per share by analysts).
- Previous earnings-per-share is positive (previous quarter EPS)
- The 5-Bar return following the previous EPS release is positive

Sell Rules:
- Exit any position after five trading days

The idea behind this trading system is that if a stock had a positive return following a positive surprise then it is likely to have a better return if the earnings surprise increases (compared to the previous quarter).
The strategy can be backtested using U.S. or international stocks data. Many parameters can be optimized (Earnings surprise threshold, Return period.) and many other trading rules can be added to improve further the profitability of this trading system.

Earnings surprise history data can be downloaded using the following item: Historical Earnings Surprise, EPS and Consensus Data

Just select a start and end date then click on "Start Downloading" to populate the "earnings_cal" custom database with the earnings per share (EPS), consensus EPS and surprise data for U.S. and international stocks.


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Type: Trading System

Object ID: 1191


Country:
United States

Market: Stock Market

Style:
Fundamental Analysis

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