Event#440tier 2live in productionNew
sec shelf takedown dilution pressure
cadence: Dailydata: lowshort only
paper
2024
Source
Industry mechanism: shelf takedown filings overhang the float and predict negative drift.
Read the paper โ
What it checks
When a firm files to issue new shares from its shelf registration, stock usually drifts down 1-3 months.
Mechanism
Each shelf takedown filing -> SHORT focal 21-90d. Cluster amplifier on >= N takedowns in trailing 90d.
No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag, or once a multi-family blend that includes it earns a champion slot.
Signal rule
short focal post-filing through 21/60/90d window; cluster >= 2/3 amplifier for 60-90d.
Data dependencies
sec_shelf_takedownsWorker data table, see services/worker schema.
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Paper alpha
- ~3-8% per event
- Paper Sharpe
- ~0.5
- Paper window
- T+1 to T+90d
Dilution overhang ~3-8% per event; persistent across clusters.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Explore sec shelf takedown dilution pressure on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.