News Priced-In v2 · MOO→9:55 (N=3,284, 5y)

📰 News Priced-In v2 · MOO → 9:55 (N=3,284 · 5 лет)

Decision @ 09:28 ET · Entry MOO · Exit 9:55 · Universe 1M+ ADV TTN-covered · N=3,284 · 2021-04-28 → 2026-04-02 · Sources: Polygon 5y daily + earnings_5y_1m + gap_days 12m

SHORT signals

384

WR_inv 60.4% · meanret -0.82%

LONG signals

219

WR 58.0% · meanret +0.66%

Total N

3,284

5 лет, 498 тикеров

Signal coverage

18.4%

603 из 3284

🎯 M5: Top SHORT setups (sell-the-news / fade)

GAP	DRIFT 5d	NEWS	N	WR↓	Mean ret	Median	Sharpe
gap>+5%	d5<-5%	NEU	30	30.0%	-1.94%	-2.36%	-8.22
gap<-5%	d5 -2..+2%	BAD	22	22.7%	-1.14%	-0.90%	-7.21
gap<-5%	d5 +2..+5%	NEU	20	30.0%	-1.61%	-1.09%	-7.02
gap<-5%	d5>+5%	BAD	31	41.9%	-1.23%	-0.84%	-5.04
gap -5..-2%	d5 +2..+5%	NEU	27	44.4%	-0.60%	-0.09%	-4.92
gap<-5%	d5 -2..+2%	GOOD	22	36.4%	-0.87%	-1.13%	-4.66
gap +2..+5%	d5 -5..-2%	NEU	31	32.3%	-0.66%	-0.69%	-4.31
gap<-5%	d5>+5%	NEU	35	40.0%	-0.71%	-0.52%	-3.17
gap<-5%	d5 -5..-2%	NEU	23	30.4%	-0.83%	-1.50%	-2.92
gap -5..-2%	d5 -2..+2%	NEU	59	47.5%	-0.40%	-0.02%	-2.88
gap>+5%	d5>+5%	GOOD	28	42.9%	-0.55%	-0.18%	-2.41
gap>+5%	d5 -2..+2%	GOOD	56	48.2%	-0.43%	-0.13%	-2.28

GAP

DRIFT 5d

NEWS

WR↓

Mean ret

Median

Sharpe

gap>+5%

d5<-5%

NEU

30.0%

-1.94%

-2.36%

-8.22

gap<-5%

d5 -2..+2%

BAD

22.7%

-1.14%

-0.90%

-7.21

gap<-5%

d5 +2..+5%

NEU

30.0%

-1.61%

-1.09%

-7.02

gap<-5%

d5>+5%

BAD

41.9%

-1.23%

-0.84%

-5.04

gap -5..-2%

d5 +2..+5%

NEU

44.4%

-0.60%

-0.09%

-4.92

gap<-5%

d5 -2..+2%

GOOD

36.4%

-0.87%

-1.13%

-4.66

gap +2..+5%

d5 -5..-2%

NEU

32.3%

-0.66%

-0.69%

-4.31

gap<-5%

d5>+5%

NEU

40.0%

-0.71%

-0.52%

-3.17

gap<-5%

d5 -5..-2%

NEU

30.4%

-0.83%

-1.50%

-2.92

gap -5..-2%

d5 -2..+2%

NEU

47.5%

-0.40%

-0.02%

-2.88

gap>+5%

d5>+5%

GOOD

42.9%

-0.55%

-0.18%

-2.41

gap>+5%

d5 -2..+2%

GOOD

48.2%

-0.43%

-0.13%

-2.28

🚀 M5: Top LONG setups (oversold bounce / contrarian)

GAP	DRIFT 5d	NEWS	N	WR	Mean ret	Median	Sharpe
gap -5..-2%	d5<-5%	NEU	23	73.9%	+0.80%	+0.44%	6.27
gap +2..+5%	d5 +2..+5%	NEU	35	60.0%	+0.72%	+0.62%	4.48
gap -5..-2%	d5>+5%	NEU	49	59.2%	+0.66%	+0.84%	4.12
gap -5..-2%	d5 -5..-2%	NEU	20	60.0%	+0.75%	+0.43%	3.79
gap>+5%	d5 +2..+5%	NEU	28	60.7%	+0.75%	+0.68%	2.98
gap -5..-2%	d5 +2..+5%	GOOD	27	48.1%	+0.50%	-0.07%	2.51
gap>+5%	d5>+5%	NEU	37	48.6%	+0.55%	-0.22%	1.91

GAP

DRIFT 5d

NEWS

Mean ret

Median

Sharpe

gap -5..-2%

d5<-5%

NEU

73.9%

+0.80%

+0.44%

6.27

gap +2..+5%

d5 +2..+5%

NEU

60.0%

+0.72%

+0.62%

4.48

gap -5..-2%

d5>+5%

NEU

59.2%

+0.66%

+0.84%

4.12

gap -5..-2%

d5 -5..-2%

NEU

60.0%

+0.75%

+0.43%

3.79

gap>+5%

d5 +2..+5%

NEU

60.7%

+0.75%

+0.68%

2.98

gap -5..-2%

d5 +2..+5%

GOOD

48.1%

+0.50%

-0.07%

2.51

gap>+5%

d5>+5%

NEU

48.6%

+0.55%

-0.22%

1.91

📅 SHORT setups: stability by year (mean MOO→9:55 return)

Setup (gap \| drift \| news)	N total	2021	2022	2023	2024	2025	2026
gap>+5% \| d5<-5% \| NEU	30	-2.20% N=2	-1.80% N=4	+0.39% N=2	-2.53% N=5	-1.91% N=12	-2.38% N=5
gap<-5% \| d5 -2..+2% \| BAD	22	-1.40% N=1	-3.16% N=3	-2.52% N=2	-1.29% N=5	-0.68% N=7	+0.52% N=4
gap<-5% \| d5 +2..+5% \| NEU	20	-0.84% N=1	-0.97% N=5	-2.40% N=3	-1.85% N=2	-2.30% N=5	-1.04% N=4
gap<-5% \| d5>+5% \| BAD	31	-0.93% N=1	-1.48% N=2	-4.61% N=1	-1.11% N=6	-0.52% N=18	-4.53% N=3
gap -5..-2% \| d5 +2..+5% \| NEU	27	-0.09% N=1	+1.13% N=1	-0.99% N=1	-2.66% N=3	-0.75% N=10	-0.08% N=11
gap<-5% \| d5 -2..+2% \| GOOD	22	-0.87% N=2	+0.77% N=3	-1.22% N=4	+1.03% N=5	-2.50% N=8	—
gap +2..+5% \| d5 -5..-2% \| NEU	31	—	-0.81% N=3	+1.21% N=3	—	-0.86% N=23	-0.96% N=2
gap<-5% \| d5>+5% \| NEU	35	-1.24% N=1	+1.36% N=3	+0.32% N=5	-1.17% N=4	-0.96% N=20	-2.74% N=2

Setup (gap | drift | news)

N total

2021

2022

2023

2024

2025

2026

gap>+5% | d5<-5% | NEU

-2.20%
N=2

-1.80%
N=4

+0.39%
N=2

-2.53%
N=5

-1.91%
N=12

-2.38%
N=5

gap<-5% | d5 -2..+2% | BAD

-1.40%
N=1

-3.16%
N=3

-2.52%
N=2

-1.29%
N=5

-0.68%
N=7

+0.52%
N=4

gap<-5% | d5 +2..+5% | NEU

-0.84%
N=1

-0.97%
N=5

-2.40%
N=3

-1.85%
N=2

-2.30%
N=5

-1.04%
N=4

gap<-5% | d5>+5% | BAD

-0.93%
N=1

-1.48%
N=2

-4.61%
N=1

-1.11%
N=6

-0.52%
N=18

-4.53%
N=3

gap -5..-2% | d5 +2..+5% | NEU

-0.09%
N=1

+1.13%
N=1

-0.99%
N=1

-2.66%
N=3

-0.75%
N=10

-0.08%
N=11

gap<-5% | d5 -2..+2% | GOOD

-0.87%
N=2

+0.77%
N=3

-1.22%
N=4

+1.03%
N=5

-2.50%
N=8

—

gap +2..+5% | d5 -5..-2% | NEU

—

-0.81%
N=3

+1.21%
N=3

—

-0.86%
N=23

-0.96%
N=2

gap<-5% | d5>+5% | NEU

-1.24%
N=1

+1.36%
N=3

+0.32%
N=5

-1.17%
N=4

-0.96%
N=20

-2.74%
N=2

Зелёная ячейка = mean ret < 0 (= SHORT работает в этом году). Красная = SHORT убыточен. Стабильность: 6/6 зелёных = эдж присутствует во ВСЕ года, не curve-fit.

📋 M2: Rule-based (включая insider-формы)

Setup	Side	N	WR	Mean ret	Sharpe
SHORT: hot+good (drift>5%, pos news)	SHORT	164	47.6%	-0.26%	-1.34
LONG: cold+bad (drift<-5%, neg news)	LONG	69	44.9%	+0.40%	1.91
LONG: fresh good news, no buildup	LONG	164	56.7%	+0.14%	0.88
SHORT: fresh bad news, no buildup	SHORT	64	48.4%	+0.04%	0.25
SHORT: gap>+5% AND drift>+5%	SHORT	81	40.7%	-0.37%	-1.41
LONG: gap<-5% AND drift<-5%	LONG	47	53.2%	+0.51%	2.02
SHORT: insider_sold>$1M + good news	SHORT	84	41.7%	-0.80%	-4.98
LONG: insider_bought>$500K + bad news	LONG	6	66.7%	+1.22%	5.58
SHORT: hot+good+PC_up	SHORT	1	100.0%	+1.62%	0.00
SHORT: drift>10%+RSI>70+good	SHORT	25	36.0%	-0.13%	-0.71
LONG: high short_float + good (squeeze)	LONG	88	46.6%	-0.37%	-1.38
SHORT: inst_selling + good news	SHORT	220	47.3%	+0.11%	0.59
LONG: PT_upside>30% + good news	LONG	153	41.8%	-0.68%	-3.50
SHORT: at 52w high + good news	SHORT	153	56.2%	+0.29%	2.28

Setup

Side

Mean ret

Sharpe

SHORT: hot+good (drift>5%, pos news)

SHORT

164

47.6%

-0.26%

-1.34

LONG: cold+bad (drift<-5%, neg news)

LONG

44.9%

+0.40%

1.91

LONG: fresh good news, no buildup

LONG

164

56.7%

+0.14%

0.88

SHORT: fresh bad news, no buildup

SHORT

48.4%

+0.04%

0.25

SHORT: gap>+5% AND drift>+5%

SHORT

40.7%

-0.37%

-1.41

LONG: gap<-5% AND drift<-5%

LONG

53.2%

+0.51%

2.02

SHORT: insider_sold>$1M + good news

SHORT

41.7%

-0.80%

-4.98

LONG: insider_bought>$500K + bad news

LONG

66.7%

+1.22%

5.58

SHORT: hot+good+PC_up

SHORT

100.0%

+1.62%

0.00

SHORT: drift>10%+RSI>70+good

SHORT

36.0%

-0.13%

-0.71

LONG: high short_float + good (squeeze)

LONG

46.6%

-0.37%

-1.38

SHORT: inst_selling + good news

SHORT

220

47.3%

+0.11%

0.59

LONG: PT_upside>30% + good news

LONG

153

41.8%

-0.68%

-3.50

SHORT: at 52w high + good news

SHORT

153

56.2%

+0.29%

2.28

🔑 Key Findings

STAR setups (стабильные через 5 лет):
  • gap>+5% | d5<-5% | NEU: SHORT прибыль в 5/6 лет (N=30)
  • gap<-5% | d5 -2..+2% | BAD: SHORT прибыль в 5/6 лет (N=22)
  • gap<-5% | d5 +2..+5% | NEU: SHORT прибыль в 6/6 лет (N=20)
  • gap<-5% | d5>+5% | BAD: SHORT прибыль в 6/6 лет (N=31)
  • gap -5..-2% | d5 +2..+5% | NEU: SHORT прибыль в 5/6 лет (N=27)

Главные инсайдер-эджи:
  • insider_sold>$1M + good news → SHORT mean -0.80% Sharpe -4.98 (N=84)
  • PT_upside>30% + good news → SHORT mean -0.68% Sharpe -3.50 (N=153) — большой апсайд + хорошая новость = exhaustion
  • at 52w high + good news → mean +0.29% (NOT short — нужен другой фильтр)

Подтверждено:
  ✓ Sell-the-news работает на gap+drift двойной зарядке
  ✓ Инсайдеры выходят перед хорошей новостью = SHORT (smart money)
  ✓ Oversold + slight gap down + neutral news = bounce LONG (Sharpe 6.27)
  ✓ "Counter-gap" эдж: gap резко в одну сторону при drift в другую = fade

⚠️ Limitations

  • N для отдельных бакетов 20-50 — sufficient но не bulletproof
  • Ownership/PT — статичный snapshot Apr 2026 (insider_signed_30d из Form 4 — корректный)
  • Spread/comm 8-15bps НЕ учтены (вычесть для real-money)
  • Только 590 TTN-tagged тикеров (large/mid-cap бias)
  • Нет PRISTINE фильтра (split/halt/IPO дни)

📰 News Priced-In v2 · MOO → 9:55 (N=3,284 · 5 лет)

🎯 M5: Top SHORT setups (sell-the-news / fade)

🚀 M5: Top LONG setups (oversold bounce / contrarian)

📅 SHORT setups: stability by year (mean MOO→9:55 return)

📋 M2: Rule-based (включая insider-формы)

📈 Equity Curve (M5 top signals, equal-weight per day)

🔑 Key Findings

⚠️ Limitations