3.2
Earnings-Momentum
PYTHON PLUGIN
Stocks
Momentum
Description
Strategy 3.2: Trade on Standardized Unexpected Earnings (SUE)
Strategy Logic
Strategy 3.2: Earnings Momentum.
Trade based on Standardized Unexpected Earnings (SUE).
SUE = (EPS_actual - EPS_forecast) / std(EPS_surprise)
Go long stocks with high SUE (positive earnings surprise),
short stocks with low SUE (negative earnings surprise).
Expects data DataFrames to contain columns: 'eps_actual', 'eps_forecast',
plus standard OHLCV. If earnings columns are absent, falls back to
earnings-proxy using price acceleration around report dates.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| sue_lookback | 8 | int |
| long_threshold | 1.0 | float |
| short_threshold | -1.0 | float |
| holding_period | 63 | int |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 5.0% |
| Stop Loss Pct | 4.0% |
| Take Profit Pct | 8.0% |
| Max Drawdown Pct | 12.0% |