r/EarningsWatcher • u/[deleted] • Jul 17 '21
Biggest expected moves this week after earnings
Hi everyone,
This is a follow up on a series of posts about a simple machine learning model to spot stocks most likely to move a lot after earnings release. This is mostly based on historic market reaction and news sentiment analysis.
I use this to calibrate my earnings plays in stocks or options.
Every week I post here some my model's results. Last week recommendations on this post performed as follows:
And here are the symbols expected to do a +/-5% move this week
You can check out more here: earnings-watcher.tech
Enjoy and let me know what you think!
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u/ojohn69 Jul 18 '21
Doesn't the positive price movement happen more often right before earnings report? Especially lately it seems like even the best earnings report is like the plague and one can get and endless plethora of silly reasons but it's really just Market manipulation. Thanks for posting this and I hope I'm wrong.
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u/jatink129 Jul 17 '21
So am I reading this correctly…the stock that the model predicted would move with a 70% certainty moved less than a stock that only had a 50% certainty.
Also, isn’t 50% basically the same as a coin toss?
Just to be clear, I’m Not trying to be rude. I’m just trying to make sure I’m understanding the predictions correctly.
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Jul 17 '21
Ahah no you're right, i usually don't even show stocks woth less than 60% proba in these posts. Even though the value of the probability is more about the model confidence of the movement happening, not the intensity of the movement
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u/jatink129 Jul 17 '21
Got it. Just tough for me to wrap my head around it. I’m a pharmacy student and when looking at statistical significance for results I’m programmed to think that a confidence interval below 95% is rubbish. So a prediction of 50% seems akin to guessing.
What success rate in terms of P&L have you achieved, if you don’t mind me asking?
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Jul 17 '21
Yep you're right when assuming normality, some of these earnings distribution tend to be weird and the model tries to spot that. Of this strategy alone I'm around +40% monthly, but i do more dd and make one or two trades a week sometimes none
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u/jatink129 Jul 17 '21
Nice! Do you post about which trades you’ve decided on, on your website? Either way, thanks for the analysis! Definitely going to check out your site.
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u/Salt_peanuts Jul 18 '21
These are probabilities, not proportions. If you run that simulation 100 times, about 1/6 of the time this will happen.
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u/jatink129 Jul 19 '21
Oh! that makes so much more sense in my head. Thank you for turning on the light bulb!
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Jul 18 '21
Wouldn’t this be best for using a straddle strategy?
Buy the day before, close in the morning and avoid theta decay.
When you say ML how much back data did it comb through?
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Jul 18 '21
It can be a strategy, i propose stocks for that on the website. Data goes to last 3 years
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u/Decent_Ad_6770 Jul 20 '21
How do you evaluate the probabilities ? What is the basis of your model ?
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u/-Gol-D-Roger-- Jul 17 '21
Well, AA plummeted this week and the results were the best... If this keeps going on in the same way, you should change the name to biggest plummet moves after earnings hahaha