box office opening drift
What it checks
When a studio's movie opens way above or way below its recent average, the studio's stock drifts in that direction for about two weeks. We scrape The-Numbers daily box-office, compute the per-distributor surprise z-score, and trade the +/-1.5 SD threshold on Monday open.
Mechanism
Opening-weekend grosses are still the single most-watched data point for the major US-listed studios. A weekend-gross surprise vs the rolling-12-release per-distributor baseline drives a measurable Monday-open drift in the distributor's equity that persists ~10 trading days before being fully absorbed.
Signal rule
For each release: surprise_z = (weekend_gross - mean_12_prior) / sd_12_prior; fire +1 when z > +1.5 SD, -1 when z < -1.5 SD; entry at next-Monday open via +1 trading day shift; 10-day hold.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
box_office_dailyWorker data table — see services/worker schema.
box_office_distributor_ticker_mapWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- untested — internal
- Paper window
- T+0 to T+10d
Untested — internal. Target 30-100 bps per qualifying release; ~15-25 qualifying surprise weekends per distributor per year.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
earnings announcement premiumEventStocks earn an abnormally positive return in the days surrounding scheduled earnings announcements (T−2 to T+1). The original 2007 paper documented ~9bp/day average premium during the window vs the non-announcement baseline; later replications show the effect has compressed to ~5-6bp/day but is still robust. The mechanism is asymmetric resolution of uncertainty plus retail inattention immediately around announcement. Signal: long the (T−2 to T+1) window per announcement, flat otherwise.
peadEventPost-Earnings Announcement Drift (Bernard-Thomas 1989): buy after an earnings surprise greater than 1σ, hold 30-60 days. Surprise is computed as (actual − consensus) / |consensus|, with σ taken from a trailing expanding window so prior thresholds don't leak future variance.
product review velocityAlt-DataAmazon review-count 7d acceleration z > +1 → consumer-discretionary outperformance via revenue-surprise channel.
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