Trend
1-month momentum
Close-to-close return over 21 prior sessions.
Percentage22 prior sessions
Signal discovery
Factor library
Combine an earnings catalyst with trend, liquidity and market context. Every condition requires an available value at the event date.
Price features use prior sessions. Treasury, analyst, quality and membership features require imported dated observations; collecting them today does not make them available in older tests.
Trend
3-month momentum
Close-to-close return over 63 prior sessions.
Percentage64 prior sessions
Trend
6-month momentum
Close-to-close return over 126 prior sessions.
Percentage127 prior sessions
Trend
12-month momentum
Close-to-close return over 252 prior sessions.
Percentage253 prior sessions
Trend
3-month relative strength
Stock return less the configured benchmark's return over the same dates.
Percentage64 prior sessions
Trend
Sector-relative strength
Stock return less its dated sector ETF's return over 63 prior sessions.
Percentage64 prior sessions
Liquidity & risk
20-session volatility
Sample standard deviation of daily returns, annualized by √252.
Percentage21 prior sessions
Liquidity & risk
14-session ATR / price
Mean true range divided by the last prior close.
Percentage15 prior sessions
Liquidity & risk
Average dollar volume
Mean close × volume over 20 prior sessions.
Currency20 prior sessions
Liquidity & risk
Prior-session relative volume
Last prior session's volume divided by its preceding 20-session average.
Number21 prior sessions
Earnings context
Pre-event 5-session return
Price movement before the earnings date.
Percentage6 prior sessions
Earnings context
Standardized EPS surprise
Current absolute EPS surprise divided by the sample deviation of 8 earlier surprises.
NumberDated source required
Earnings context
Consecutive EPS beats
Consecutive positive EPS surprises ending with this event.
NumberDated source required
Earnings context
EPS and revenue both beat
1 when both surprises are positive, 0 otherwise; unavailable if either is missing.
NumberDated source required
Market conditions
Benchmark vs 200-session average
Last prior benchmark close divided by its 200-session average, minus one.
Percentage200 prior sessions
Market conditions
Benchmark volatility
Annualized benchmark daily-return volatility over 20 prior sessions.
Percentage21 prior sessions
Market conditions
10-year Treasury yield
Latest eligible observed 10-year yield, converted from percentage points.
PercentageDated source required
Market conditions
10-year minus 2-year yield
Yield-curve spread from a previously observed Treasury record.
PercentageDated source required
Expectations
30-day EPS consensus revision
Change in EPS consensus for the same forecast period across dated snapshots.
PercentageDated source required
Expectations
EPS estimate dispersion
Estimate high minus low divided by absolute mean estimate.
NumberDated source required
Expectations
Analyst coverage
Analysts contributing to the latest eligible EPS consensus.
NumberDated source required
Quality & value
Free-cash-flow yield (TTM)
Four eligible quarterly free-cash-flow observations divided by dated market cap.
PercentageDated source required
Quality & value
ROE change
Change between the two latest eligible fiscal-period ROE observations.
PercentageDated source required
Quality & value
Debt/equity change
Change between the two latest eligible fiscal-period debt/equity observations.
NumberDated source required
Events
Days since index addition
Calendar days since a known S&P 500, Nasdaq or Dow addition. This is not full membership reconstruction.
NumberDated source required