9bf67e731d
3 omnisearch researchers + clean PEAD test answer 'why does AI4Finance find what we cant': they dont. FinRL flagship (Sharpe 1.30) = single-split, slippage-free, no-deflation, bull-market, survivorship, hand-coded crash rule; their own people (Gort/Liu AAAI'23) published the overfitting rebuttal; zero live track record. ML-trading decays 73%+ backtest->live, faster for complexity. PEAD tested properly (real Nasdaq surprises x DBEQ, leak-free, 23bp cost, OOS): full-sample looked good (20d +0.29% t=2.9) but pure in-sample bull-beta -> OOS NEGATIVE every horizon; surprise-size signature fails. Strongest classic anomaly dies OOS. Untested real pulse left: prediction markets (uncorrelated). Tooling: fetch_earnings.py, pead_real.py, dbeq_symbology resolved (17605 tickers). Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
72 lines
3.5 KiB
Python
72 lines
3.5 KiB
Python
#!/usr/bin/env python3
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"""PEAD gate: does post-earnings-announcement drift survive in small/neglected names, net of cost?
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The strongest classic anomaly that persists BECAUSE it's too small/illiquid for funds to arb.
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Proxy (no earnings-date data needed): an "earnings-like surprise" = a large abnormal-volume single
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-day move (|ret| > K_SIG x trailing-vol AND volume > K_VOL x trailing-avg). PEAD predicts
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CONTINUATION: enter at the event-day CLOSE (leak-free, after the full move), hold N days, signed by
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the surprise direction. Measure net-of-cost drift, t-stat, long vs short, IS/OOS, by liquidity band.
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"""
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import math
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import os
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import sys
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import numpy as np
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sys.path.insert(0, os.path.dirname(os.path.abspath(__file__)))
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from equity_factor_gate import load, roll # noqa: E402
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K_SIG, K_VOL = 2.0, 2.0 # surprise = |ret|>2sigma AND volume>2x average
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LO, HI = 1e6, 30e6 # small-but-tradeable $/day band (where PEAD survives)
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HORIZONS = [1, 3, 5, 10, 20]
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def tstat(x):
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x = x[np.isfinite(x)]
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return float(x.mean() / (x.std() / math.sqrt(len(x)))) if len(x) > 30 and x.std() > 0 else float("nan")
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def main():
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insts, days, close, dvol = load()
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T, N = close.shape
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lc = np.log(close)
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R = np.zeros((T, N)); R[1:] = lc[1:] - lc[:-1]; R = np.where(np.isfinite(R), R, 0.0)
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vol20 = roll(np.std, R, 20) # trailing std (excludes t -> causal)
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advol = roll(np.mean, np.nan_to_num(dvol), 20)
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year = (1970 + days / 365.25).astype(int)
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rt_cost = np.clip(40.0 / np.sqrt(np.maximum(advol, 1.0) / 1e6), 5.0, 80.0) / 1e4 # round-trip, illiquidity-scaled
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valid = (np.isfinite(close) & (vol20 > 0) & np.isfinite(advol) & (advol > LO) & (advol < HI))
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surprise = valid & (np.abs(R) > K_SIG * vol20) & (dvol > K_VOL * advol)
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surprise[:21] = False; surprise[T - max(HORIZONS):] = False
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sgn = np.sign(R)
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print(f"PEAD gate (DBEQ, band ${LO/1e6:.0f}-{HI/1e6:.0f}M/day, surprise=|ret|>{K_SIG}sig & vol>{K_VOL}x)")
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print(f" total surprise events: {int(surprise.sum())} (avg cost {1e4*rt_cost[surprise].mean():.0f}bp round-trip)")
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oos = np.repeat((year >= 2025)[:, None], N, 1)
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up = surprise & (sgn > 0); dn = surprise & (sgn < 0)
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print(f"\n{'horizon':>8} {'n':>7} {'gross%':>7} {'net%':>7} {'t(net)':>7} {'fracpos':>8} | {'LONG net%':>9} {'SHORT net%':>10} | {'OOS net%':>9}")
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for h in HORIZONS:
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dr = np.full((T, N), np.nan); dr[:T - h] = lc[h:] - lc[:T - h] # dr[t] = lc[t+h]-lc[t]
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signed = sgn * dr
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net = signed - rt_cost
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g = signed[surprise]; nt = net[surprise]
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ln = net[up]; sh = net[dn]
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oo = net[surprise & oos]
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print(f"{h:>8} {int(np.isfinite(nt).sum()):>7} {100*np.nanmean(g):>+7.2f} {100*np.nanmean(nt):>+7.2f} "
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f"{tstat(nt):>+7.1f} {np.nanmean(nt>0):>8.2f} | {100*np.nanmean(ln):>+9.2f} {100*np.nanmean(sh):>+10.2f} | {100*np.nanmean(oo):>+9.2f}")
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# by surprise strength at the 10d horizon
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h = 10
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dr = np.full((T, N), np.nan); dr[:T - h] = lc[h:] - lc[:T - h]
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net = sgn * dr - rt_cost
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strong = surprise & (np.abs(R) > 3 * vol20)
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print(f"\n 10d net by surprise strength: 2-3sig {100*np.nanmean(net[surprise & ~strong]):+.2f}% "
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f">3sig {100*np.nanmean(net[strong]):+.2f}% (PEAD: bigger surprise -> bigger drift)")
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print("\nVERDICT: net drift > 0 with t(net) > 3 (deflated) AND positive OOS AND long-side works = real PEAD edge")
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print("worth a proper book. If net ~0 or t<2 or OOS collapses = eaten by cost / arbed even in small names.")
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if __name__ == "__main__":
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main()
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