faers class rotation
What it checks
When a whole drug class has a safety-event spike, we short the worst-hit company and assume the market rotates to alternatives.
Mechanism
Class-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.
Signal rule
Class-total 7d severity z >= +2 (peers sharing dominant FAERS indication) AND ticker share >= 25% -> SHORT worst-hit ticker T+1; hold 10/20/40 trading days.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
faers_drug_severity_dailyWorker data table — see services/worker schema.
faers_adverse_eventsWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- untested - internal
- Paper window
- T+1 to T+40d
Cohen-Frazzini 2008 analog: cross-class spillover with concentrated incidence.
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.
black box warning shortAdverse eventsFDA black-box warning (strongest label change short of withdrawal) triggers prescriber pullback; sponsor stock reprices -8% event-day with -12% drift over 6mo.
Explore faers class rotation on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.