pead_over_reaction_fade
Truong (2010) AJM & Sadka (2006) JFE — Earnings 翌日 over-reaction の short-window fade、 PEAD と逆方向 1-3 day mean-reversion。 sniper 戦略 (発表翌日のみ in-market)
Rolling Sharpe
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90-day rolling window
Drawdown
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peak-to-trough
Win Rate
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0 fires · weight 0.00×
Current Status
State
Ensemble Weight—
Fires (90d)0
Last fired—
Methodology
Truong (2010) AJM & Sadka (2006) JFE — Earnings 翌日 over-reaction の short-window fade、 PEAD と逆方向 1-3 day mean-reversion。 sniper 戦略 (発表翌日のみ in-market)
Supported Markets
US StockJP Stock
State Transition History
No state changes recorded yet