Earnings 5y — Clean PM→MOO Patterns
11,225 events 2021-01 → 2026-04 · Entry: PM ≥ 08:00 · Exit: strict MOO · Costs: 0.13%/side (net).
AUDITED for lookahead. Original 89% WR was bogus (full-session pm_high/low). Below = time-aware clean edge only.
Baseline & audit summary
| Strategy | N | WR | Mean net% | Sharpe | Status |
|---|
| LONG baseline 8:00 | 11,225 | 41.7% | -2.35 | -1.19 | EDGE = 0 |
| SHORT baseline 8:00 | 11,225 | 51.5% | +2.09 | +1.06 | slight edge |
| SHORT + gap_entry>+10% | 1,171 | 77.8% | +35.2 | 15.8 | CLEAN |
| SHORT + pm_range_ta>20% by 8AM | 74 | 86.5% | +61.6 | 23.0 | CLEAN |
| SHORT + pm_range_ta 10-20% by 8AM | 320 | 62.8% | +21.1 | 9.1 | CLEAN |
| SHORT + gap_dir=-1 | 1,380 | 73.7% | +2.1 | 1.4 | CLEAN |
SHORT 8:00 — gap_entry > +10% (N=1171 WR 77.8% mean +35.2% Sharpe 15.8)
Stock gapped +10%+ by 8AM PM. Typical pattern: earnings pop fades back to open.
SHORT 8:00 — pm_range_ta > 20% by 8AM (N=74 WR 86.5% mean +61.6% Sharpe 23.0)
Extreme PM range (>20% high-low) already by 8AM. Rare blowups — major reversion to MOO.
SHORT 8:00 — pm_range_ta 10-20% by 8AM (N=320 WR 62.8% mean +21.1% Sharpe 9.1)
Heavy PM action (10-20% range). Still profitable short into MOO.
SHORT 8:00 — prior gap_dir=-1 (N=1380 WR 73.7% mean +2.1% Sharpe 1.4)
Stock opened down yesterday (gap_dir_m1=-1). Continuation short works in earnings PM.