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Analyst Surprise Momentum

Updated quarterlyData needs: lowlong onlyshort only

1984

Foster, G., Olsen, C., Shevlin, T. (1984). "Earnings releases, anomalies, and the behavior of security returns." The Accounting Review, 59(4), 574-603.

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In plain terms

When a company's last two quarterly earnings reports BOTH beat (or BOTH missed) by a meaningful amount, the stock tends to keep drifting in that direction for the next 2-3 months. Go long sustained-beat companies, short sustained-miss companies.

How it works

Earnings surprise momentum — the magnitude of recent SUE surprises continues to drift over the subsequent 60-90 trading days as analyst estimates are slowly revised in the surprise's direction. FOS 1984 document the classic 60d PEAD drift; this family captures the MOMENTUM via the mean of trailing-2 quarterly surprise_pct values.

Live results

0 times picked on its own · 5 times inside a blend (5 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 5 such blended picks (5 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Earnings history
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Reported return: +/-3-6% over 60-90d
Tested over: T+1 to T+90d

+/-3-6% over 60-90d on sustained-direction surprise momentum (FOS 1984 PEAD replica).

Example tickers where this is likely to fire

NVDA META AVGO AMD TSLA PYPL

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

Post-Earnings DriftCompany Events & Earnings

After an earnings beat (vs analyst expectations), the price drifts up over the next 30-60 days — markets are slow to fully digest the surprise.

SUE Zscore DriftCompany Events & Earnings

PEAD using the standardized SUE z-score instead of raw surprise %. SUE is the academic canonical form — it accounts for how noisy each company's analyst consensus is.

Earnings Revision ReversalEconomy & Policy

Analyst target revisions drift for ~30 days then stop.

Explore Analyst Surprise Momentum on alphactor.ai

See which tickers this family is currently firing on, with live signals and rankings.

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