PEAD strategy█ OVERVIEW
This strategy trades the classic post-earnings announcement drift (PEAD).
It goes long only when the market gaps up after a positive EPS surprise.
█ LOGIC
1 — Earnings filter — EPS surprise > epsSprThresh %
2 — Gap filter — first regular 5-minute bar gaps ≥ gapThresh % above yesterday’s close
3 — Timing — only the first qualifying gap within one trading day of the earnings bar
4 — Momentum filter — last perfDays trading-day performance is positive
5 — Risk management
• Fixed stop-loss: stopPct % below entry
• Trailing exit: price < Daily EMA( emaLen )
█ INPUTS
• Gap up threshold (%) — 1 (gap size for entry)
• EPS surprise threshold (%) — 5 (min positive surprise)
• Past price performance — 20 (look-back bars for trend check)
• Fixed stop-loss (%) — 8 (hard stop distance)
• Daily EMA length — 30 (trailing exit length)
Note — Back-tests fill on the second 5-minute bar (Pine limitation).
Live trading: enable calc_on_every_tick=true for first-tick entries.
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█ 概要（日本語）
本ストラテジーは決算後の PEAD を狙い、
EPS サプライズがプラス かつ 寄付きギャップアップ が発生した銘柄をスイングで買い持ちします。
█ ロジック
1 — 決算フィルター — EPS サプライズ > epsSprThresh %
2 — ギャップフィルター — レギュラー時間最初の 5 分足が前日終値＋ gapThresh %以上
3 — タイミング — 決算当日または翌営業日の最初のギャップのみエントリー
4 — モメンタムフィルター — 過去 perfDays 営業日の騰落率がプラス
5 — リスク管理
• 固定ストップ：エントリー − stopPct %
• 利確：終値が日足 EMA( emaLen ) を下抜け
█ 入力パラメータ
• Gap up threshold (%) — 1 (ギャップ条件)
• EPS surprise threshold (%) — 5 (EPS サプライズ最小値)
• Past price performance — 20 (パフォーマンス判定日数)
• Fixed stop-loss (%) — 8 (固定ストップ幅)
• Daily EMA length — 30 (利確用 EMA 期間)
注意 — Pine の仕様上、バックテストでは寄付き 5 分足の次バーで約定します。
実運用で寄付き成行に合わせたい場合は calc_on_every_tick=true を有効にしてください。
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ご意見や質問があればお気軽にコメントください。
Happy trading!
Pead
Earnings Surprise Indicator (Post-Earnings Announcement Drift)What It Does:
- Displays a company's actual earnings vs. analysts' estimates over time
- Shows "earnings surprises" - when actual results beat or miss expectations
- Helps identify trends in a company's financial performance
How It Works:
- Green bars: Positive surprise (earnings beat estimates)
- Red bars: Negative surprise (earnings missed estimates)
- Yellow line: Analysts' earnings estimates
Correlation with Post Earnings Announcement Drift (PEAD): PEAD is the tendency for a stock's price to drift in the direction of an earnings surprise for several weeks or months after the announcement.
Why It Matters:
- Positive surprises often lead to upward price drift
- Negative surprises often lead to downward price drift
- This drift can create trading opportunities
How to Use It:
1. Spot Trends:
- Consistent beats may indicate strong company performance
- Consistent misses may signal underlying issues
2. Gauge Market Expectations:
- Large surprises may lead to significant price movements
3. Timing Decisions:
- Consider long positions after positive surprises
- Consider short positions or exits after negative surprises
4. Risk Management:
- Be cautious of reversal if the drift seems excessive
- Use in conjunction with other technical and fundamental analysis
Key Takeaways:
- Earnings surprises can be fundamental-leading indicators of future stock performance, especially when correlated with analyst projections
- PEAD suggests that markets often underreact to earnings news initially
- This indicator helps visualize the magnitude and direction of surprises
- It can be a valuable tool for timing entry and exit points in trades
