black box warning short
What it checks
When a drug accumulates fatal adverse-event reports in a short window (a black-box warning trigger), we short the sponsor for 3-6 months.
Mechanism
FDA black-box warning (strongest label change short of withdrawal) triggers prescriber pullback; sponsor stock reprices -8% event-day with -12% drift over 6mo.
Signal rule
Ticker accumulates >=5 FAERS death-outcome events in 30d rolling window (BBW issuance proxy) -> SHORT sponsor T+1 on rising-edge; hold 60/120 trading days.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
faers_adverse_eventsWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- -8% event-day, -12% 6mo
- Paper window
- T+1 to T+120d
Lerner-Beard-Sgouros 2014: -8% event-day, -12% over 6mo.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
faers severity spike shortHealthcare / FDAA 7-day rolling severity-score sum (death=5, life_threatening=4, hospitalization=3, disability=2, other=1) z-scored vs the trailing 365 days predicts label-change risk / black-box warning / product recall on the sponsor. FAERS reports take 1-3 days to land in the public API and the news cycle picks them up 1-2 weeks later, leaving a 3-10 day window for the short.
faers class rotationAdverse eventsClass-wide FAERS severity surge causes prescribers to pull back across all class members; the worst-hit ticker bears the brunt of the negative drift while alternatives rotate up.
Explore black box warning short on alphactor.ai
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