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Earnings Surprise Strategy

The algorithm acquires securities with a high possibility of having a earning surprise BT days before earnings announcement.
After earning announcement retains securities with a positive earning surprise greater than x threshold and a price impact greater than y threshold. This indicates a market correction relative to previous expectations.
Securities that meet this filter are held for AT days after earnings announcement and other securities are liquidated.

Base Universe:
- Q1500US
Market Risk:
- Determined by "Downside Protection Model - Wes Grey"
Risk management (inspired from Trout Trading Fund):
- Loss limit of 1.5% on every single trade; will liquidate trade if breached.
- Loss limit of 4% of total equity on every day; will liquidate all positions and stop trading for the rest of the day.
- Loss limit of 10% of total equity per month; will liquidate everything and stop until next month.

The objective of this strategy is to maximize earnings impact.
The strategy trades using quantopian default commission and slippage requirement.

I would like any feedback regarding the eligibility of this strategy for contest and allocation.

5 responses

Settings: From 2006-05-28 to 2017-05-04 with $1,000,000 initial capital
Hedged with SPY short with target beta 3.0
Target Leverage: 2.9 Equity, 0.1 Cash, 3.0 Total
Target Exposure: 1.6 Long, 1.3 Short, 0.3 Net

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Settings: From 2006-05-28 to 2017-05-04 with $1,000,000 initial capital
Unhedged with 1.0 Leverage
Target Leverage: 1.0 Equity
Target Exposure: 1.0 Long, 1.0 Net

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Settings: From 2006-05-28 to 2017-05-04 with $1,000,000 initial capital
Unhedged with 2.0 Leverage
Target Leverage: 2.0 Equity
Target Exposure: 2.0 Long, 2.0 Net

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Settings: From 2010-01-02 to 2017-05-04 with $1,000,000 initial capital
Hedged with SPY short with target beta 3.0
Target Leverage: 2.9 Equity, 0.1 Cash, 3.0 Total
Target Exposure: 1.6 Long, 1.3 Short, 0.3 Net

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Settings: From 2010-01-02 to 2017-05-04 with $1,000,000 initial capital
Unhedged with 1.0 Leverage
Target Leverage: 1.0 Equity
Target Exposure: 1.0 Long, 1.0 Net

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Notebook previews are currently unavailable.