Event-Driven Stock Screening Based on Earnings Announcements
Summary
This example describes an event-driven stock selection strategy that evaluates companies on the day their financial reports are announced. It selects stocks with year-over-year net profit growth below 1 and ranks candidates by that growth measure. The screen excludes special-treatment and delisted stocks, stocks outside the main board, and companies listed for less than 365 days. The stated execution schedule is to buy at the open and sell at the close; the example specifies three holdings, a 30-day holding period, and initial capital of one million yuan.
The document provides strategy rules and says the example is intended for the AIStudio 3.0 environment, but it gives no usable performance results or details about the backtest beyond referring to a chart. It also does not clarify whether the threshold of 1 means a ratio, percentage, or another unit, or explain how the stated holding period fits with the same-day open-to-close trading instruction. Treat the rules as an incomplete example that needs these details resolved before evaluation or implementation.
Key ideas
- The strategy screens stocks on financial report announcement dates.
- It selects companies with net profit growth below 1 and ranks them by that measure.
- It excludes special-treatment, delisted, non-main-board, and recently listed stocks.
- The stated schedule buys at the open and sells at the close, with three holdings and a 30-day holding period.
- The document gives no performance evidence and leaves important rule details unclear.
Tags
Cited by
- Strategies Earnings-Gap Continuation (PEAD Proxy), Long-Short Event-Driven Basket on 20 Liquid US Large Caps (USEQ 1-DAY — enter at the CLOSE of a >=3-sigma high-volume overnight gap, ride the post-announcement drift for ~15 sessions, 3-parameter)
- Hypotheses Earnings-Gap Continuation (PEAD Proxy), Long-Short Event-Driven Basket on 20 Liquid US Large Caps (USEQ 1-DAY — enter at the CLOSE of a >=3-sigma high-volume overnight gap, ride the post-announcement drift for ~15 sessions, 3-parameter)
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.