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>
50 lines
1.5 KiB
Python
50 lines
1.5 KiB
Python
#!/usr/bin/env python3
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"""Fetch Nasdaq earnings calendar (date + symbol + surprise%) for all weekdays in the DBEQ range,
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for a proper PEAD test. Free, no key. Cached per date; gentle pacing + backoff.
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"""
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import datetime
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import json
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import os
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import time
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import urllib.request
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OUT = "data/surfer/earnings"
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START = datetime.date(2023, 3, 28)
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END = datetime.date(2026, 5, 31)
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def get(u):
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for a in range(4):
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try:
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req = urllib.request.Request(u, headers={"User-Agent": "Mozilla/5.0", "Accept": "application/json"})
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return json.loads(urllib.request.urlopen(req, timeout=25).read())
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except Exception:
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if a == 3:
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return None
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time.sleep(4 * (a + 1))
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return None
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def main():
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os.makedirs(OUT, exist_ok=True)
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d = START
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n = fail = 0
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while d <= END:
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if d.weekday() < 5:
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f = f"{OUT}/{d}.json"
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if not os.path.exists(f):
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r = get(f"https://api.nasdaq.com/api/calendar/earnings?date={d}")
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if r is None:
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fail += 1
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else:
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rows = (r.get("data") or {}).get("rows") or []
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json.dump([(x.get("symbol"), x.get("surprise")) for x in rows], open(f, "w"))
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n += 1
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time.sleep(1.3)
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d += datetime.timedelta(days=1)
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print(f"DONE: fetched {n} new days, {fail} failed; cache dir {OUT}")
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if __name__ == "__main__":
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main()
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