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.
- 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.