EPS surp.>10 & P/E<20 & P/E after earn.>25 (lookback 3y)
A beat is more useful when the stock is not already expensive.
Definition
{
"universe": {},
"maxLookbackYears": 3,
"eventFilter": {
"eventType": "earnings",
"conditions": [
{
"field": "epsSurprisePct",
"operator": ">",
"value": 0.1
},
{
"field": "pe",
"operator": "<",
"value": 20
},
{
"field": "peAfterEarnings",
"operator": ">",
"value": 25
}
]
},
"entryRule": {
"type": "firstOpenAfterAnnouncement"
},
"exitRule": {
"type": "afterTradingDays",
"days": 5,
"price": "close"
},
"benchmark": "SPY",
"transactionCostBps": 10,
"slippageBps": 10,
"entryFillMode": "market",
"conservativeFraction": 0.25,
"delaySessions": 0
}