faers severity spike short
What it checks
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.
Mechanism
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.
Signal rule
Short T+1 when 7-day rolling FAERS severity-score sum z-score (vs trailing 365d) >= 2.0. Hold 5/10/20 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.
Expected edge
- Paper alpha
- -3% to -10% on label-change catalysts
- Paper window
- 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
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