Its own screen, whole market
Sell the earnings miss
This strategy sells short. Every return below is the position's — the stock's move with the sign reversed. It is a measurement of where the system's information lives, not a recommendation to sell anything.
Sessions
0
Mean return
—
vs S&P 500
—
Verdict
no verdict yet
The hypothesis, as registered
The drift after earnings is better documented on the bad-news side than on the good: a company that disappoints keeps sliding as holders reassess. This is the mirror of 'Reported since the close' — together they ask whether the day-zero drift exists, and on which side.
The rule
Companies on the Nasdaq earnings calendar that reported after yesterday's close or before today's open, liquid (average volume over 2M, price over $10), trading 2% to 12% below yesterday's close in the pre-market. Sell short the deepest drop in that band, hold to the close. Rows without a stated time are ignored.
Session by session
| Session | Pick | What the rule read | Return | vs S&P 500 |
|---|---|---|---|---|
| 2026-10-14 | passed | No liquid company that reported since the close was trading 2% to 12% below yesterday's close. | — | — |
| 2026-10-13 | passed | No liquid company that reported since the close was trading 2% to 12% below yesterday's close. | — | — |
| 2026-10-12 | passed | No company on the calendar reported since yesterday's close — or the calendar could not be read. | — | — |
| 2026-10-09 | DALDelta Air Lines | pre-market gap -3.58% · reported pre-market · average volume 7,979k · 5-day return -2.37% | no price found | — |
| 2026-10-08 | passed | No liquid company that reported since the close was trading 2% to 12% below yesterday's close. | — | — |
| 2026-10-07 | passed | No liquid company that reported since the close was trading 2% to 12% below yesterday's close. | — | — |
| 2026-10-06 | passed | No liquid company that reported since the close was trading 2% to 12% below yesterday's close. | — | — |
| 2026-10-05 | passed | No company on the calendar reported since yesterday's close — or the calendar could not be read. | — | — |
| 2026-10-02 | passed | No company on the calendar reported since yesterday's close — or the calendar could not be read. | — | — |
| 2026-10-01 | passed | No liquid company that reported since the close was trading 2% to 12% below yesterday's close. | — | — |
| 2026-09-30 | passed | No liquid company that reported since the close was trading 2% to 12% below yesterday's close. | — | — |
| 2026-09-29 | passed | No liquid company that reported since the close was trading 2% to 12% below yesterday's close. | — | — |
| 2026-09-28 | passed | No liquid company that reported since the close was trading 2% to 12% below yesterday's close. | — | — |
| 2026-09-25 | passed | No liquid company that reported since the close was trading 2% to 12% below yesterday's close. | — | — |