Faers Severity Spike Short
In plain terms
Pharma stocks drop after a spike in serious side-effect reports for a marketed drug. Short the day after the 7-day rolling severity z-score crosses +2.
How it works
A 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.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Faers drug severity daily
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Reported return
- -3% to -10% on label-change catalysts
- Tested over
- T+1 to T+20d
3-10 trading days of negative drift before consensus rerates the label-change risk.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
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.
FDA AdComm + PDUFA target dates are ±15% binary catalysts.
Explore Faers Severity Spike Short on alphactor.ai
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