Pead Text Confirmation
In plain terms
Standard PEAD trades on earnings surprise sign. This version only trades when the management's call tone agrees with the surprise — skips ambiguous prints.
How it works
Vanilla PEAD trades on SUE sign. This family gates by transcript-FinBERT sentiment direction: take position ONLY when sentiment agrees with SUE sign. Beat + bullish call → long; miss + bearish call → short; disagreement (beat-but-cautious, miss-but-optimistic) → skip. Filters out the messy 1/3 of earnings where management contradicts the headline.
Data dependencies
- Earnings history
A data feed this strategy reads, refreshed on its normal schedule.
- Transcript finbert scores
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Reported return
- ~50-100 bps incremental over vanilla PEAD
~50-100bps incremental over vanilla PEAD by Sharpe; significant drawdown reduction.
Related families
After an earnings beat (vs analyst expectations), the price drifts up over the next 30-60 days — markets are slow to fully digest the surprise.
Managers schedule bad-news earnings for Friday after-close to dodge attention. The 3-day return around those announcements is significantly negative.
Explore Pead Text Confirmation on alphactor.ai
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