earnings revision reversal
What it checks
Analyst target revisions drift for ~30 days then stop.
Mechanism
Analyst-revision drift decays sharply — most return in first 30 days.
Signal rule
30d z of target_mean changes; long when z > +1.5; hold 5/15/30d
Data dependencies
analyst_estimatesWorker data table — see services/worker schema.
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Paper alpha
- ~3% in 30d
- Paper window
- 1976-1986
Stickel 1989/91: ~3% in 15-30d top decile, sharp decay past 30d.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
analyst revision breadthSentimentCount of upward vs downward EPS revisions in trailing 30 days, normalized by total analyst count. Breadth (proportion of analysts moving in the same direction) predicts post-revision drift more reliably than magnitude alone — collective updates are sticky.
analyst revision jumpSentimentSo & Wang (2023) JAR "News-Implied Analyst Revisions and Drift": a large overnight gap on day t that isn't preceded by an analyst revision is mispriced — the revision arrives around T+5 and the price continues to drift through it. Reported: Sharpe 1.5, 30-day drift, robust 2003-2022. v1 approximation flags gaps ≥3% with no earnings event in trailing 5d as "unrevised"; long on upside gaps, short on downside gaps, hold 21-63d.
analyst forecast dispersionSentimentHigh analyst-forecast dispersion → asymmetric overpricing (short-sale constraints keep pessimists out). Short high-dispersion / long low-dispersion → 7-8% annualized.
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