This is a trading item or a component that was created using QuantShare by one of our members.
This item can be downloaded and used by QuantShare Trading Software.
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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.
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.
Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.
