sys pead drift

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Portfolio analysis and performance timeline.

Last updated: Oct 23 β€’ 7:54 PM ET

πŸ’°Total Equity
$8,731.80
πŸ“‰Daily Move
-0.93%
πŸ’΅Cash
$286.42
πŸ“Š

Post-Earnings Announcement Drift (PEAD) StrategySUE + Jev System One

Capturing structural 15 to 45 day institutional drift following top-decile earnings surprises.

πŸ“š Academic Foundation
First documented by Ball & Brown (1968) and Bernard & Thomas (1989). Exploits the multi-week institutional accumulation window post-earnings driven by TWAP/VWAP block execution frictions.
🎯 Quantitative Pre-Filter
Screened daily across S&P 500 constituents: Standardized Unexpected Earnings (SUE >= +2.0), positive revenue growth surprise, Sloan accrual quality ratio <= 0.10, and 20-day pre-earnings run-up < 25%.
🧠 Jev System One Gatekeeper
TypeSafe Jev evaluates candidate surprise metrics, margin deltas, and qualitative guidance on the OpenRouter Decisions API, requiring P(QUALIFIED) >= 70% to eliminate guidance traps.
⏱️ 30-Day Horizon & ATR Stop
Target 10 to 15 equal-weighted positions held for 30 trading days (the core drift sweet spot). Managed with a 5% trailing ATR stop and mandatory exit before the subsequent quarter earnings print.

Equity Curve

2026-10-23
$8,731.80

Current Positions

TickerQtyAvg CostPriceInvested ↕% ↕P/L (USD) ↕P/L (%) ↕
SVGAVGO
2$337.11$321.68$674.227.95%$-30.86-4.58%
SVGGS
4$881.70$878.91$3,526.8041.60%$-11.16-0.32%
SVGPLD
34$125.81$126.59$4,277.6450.45%+$26.42+0.62%

Recent Trades

Audit Trail
Executed AtTickerSignalAlpacaQtyPriceTotalPnL
Oct 19, 20261:08:34 PM ET
SVGAVGO
BUYFILLED2$337.11$674.22β€”
Oct 16, 20267:43:53 PM ET
SVGGS
BUYFILLED4$881.70$3,526.80β€”
Oct 16, 20267:43:52 PM ET
SVGPLD
BUYFILLED34$125.81$4,277.64β€”
Oct 16, 20267:43:52 PM ET
SVGAVGO
SELLFILLED26$328.59$8,543.23
$684.37-7.42%
Oct 12, 202610:38:37 PM ET
SVGAVGO
BUYFILLED26$354.91$9,227.59β€”
Oct 12, 20263:58:53 PM ET
SVGAVGO
SELLFILLED26$354.82$9,225.39
$550.56-5.63%
Oct 6, 20268:51:24 PM ET
SVGAVGO
BUYFILLED26$376.00$9,775.95β€”