Clinicaltrials Phaseiii Readout
In plain terms
When a drug company publicly posts the results of a late-stage (Phase III) trial, bet that its stock drifts down over the following weeks, and hold for about 2 to 8 weeks. The trade waits until the results are actually public before taking any position.
How it works
Phase III results posting is a resolved-uncertainty event. The equity-side edge is a short-side post-readout drift: on average, terminated/failed trials get their failure risk progressively priced in and the post-posting drift in sponsor equity is negative, while the option-side 'long volatility / IV-crush' framing does not pass through to a directional equity long. Entering only after the public posting date keeps the signal free of completion_date look-ahead leakage.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Clinical trials phaseiii
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Reported return
- long-vol
- Tested over
- T-5 to T+5
Brogaard et al 2021: long-vol premium pre-readout.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
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