R- day BEFORE news
R+ day AFTER news
BMO before market open
AMC after market close
| Class | Timing | Side |
N | WR% | mean% |
vs base | t-stat | PF |
Action |
| R- | BMO | LONG |
1,395 | 52.62 | +0.073 |
+2.55pp | +2.27 | 1.19 |
BOOST_LONG ×1.25 |
| R- | BMO | SHORT |
1,395 | 47.03 | -0.073 |
-2.27pp | -2.27 | 0.84 |
AVOID SHORT |
| R- | AMC | LONG |
4,035 | 49.84 | +0.038 |
-0.23pp | +0.67 | 1.03 |
NEUTRAL |
| R- | AMC | SHORT |
4,035 | 49.76 | -0.038 |
+0.46pp | -0.67 | 0.97 |
NEUTRAL |
| R+ | BMO | LONG |
2,782 | 49.96 | -0.034 |
-0.11pp | -0.62 | 0.97 |
NEUTRAL |
| R+ | BMO | SHORT |
2,782 | 49.71 | +0.034 |
+0.41pp | +0.62 | 1.04 |
NEUTRAL |
| R+ | AMC | LONG |
2,154 | 48.61 | +0.023 |
-1.46pp | +0.39 | 1.02 |
PAPER |
| R+ | AMC | SHORT |
2,154 | 51.11 | -0.023 |
+1.81pp | -0.39 | 0.98 |
PAPER |
Single significant edge: R- × BMO LONG (+2.27σ). Day before BMO earnings, market drifts UP morning of D-1.
465 events/yr ≈ +$338/yr per $1k allocation.