Text-NLP#82tier 2live in productionNew

`filing text delta`

cadence: Annualdata: mediumlong shortlong onlyshort only

2020

#82 filing_text_delta — Cohen-Malloy-Nguyen 2020 JF "Lazy Prices" + 10-K Item 1 uncertainty-language delta.

Mechanism

Year-over-year change in uncertainty/risk language in 10-K Item 1 ('Business' section). Spike in 'may', 'could', 'uncertain', 'challenging', 'risk' tokens per 10K words → management is privately more cautious → forward earnings miss / underperformance. Stable or decreasing language → quietly confident outlook → outperform.

Signal rule

uncertainty_density_t / uncertainty_density_{t-1}; top-quintile increase = short, bottom-quintile = long.

Data dependencies

sec_10k_business_text
Worker data table — see services/worker schema.
daily_prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

~3-4% annualized long-short return (Cohen-Malloy-Nguyen 2020 extension).

Illustrative pattern only

NOT a backtest

Illustrative pattern only — see /app for live backtests and the actual current equity curve.

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filing text delta