Post-Earnings Announcement Drift
Prices under-react to earnings surprises. A stock that beats on both revenue and EPS with a strong reaction tends to keep drifting in the same direction for weeks as analysts and slow institutions revise upward. You ride the crowd's delayed digestion.
Setup & Rules
Require a genuine surprise on both revenue and EPS, plus a same-day price reaction of at least one ATR confirming the market agrees the news is material. No surprise, no drift.
Entry
Enter the day after the report, into strength, once the initial reaction holds above the earnings-day range. You are joining a confirmed reaction, not front-running the print.
Exit
Hold for the drift window (a few weeks) or until momentum stalls below a fast moving average. Take the strategy off before the next earnings date — the edge is post-event, not pre-event.
Risk Management
Stop below the earnings-day low. Diversify across many uncorrelated single-name events so no one reversal dominates; this is a law-of-large-numbers edge.
Portfolio Management
A foundational, well-documented core equity sleeve. Its long bias means it needs an explicit hedge in a drawdown regime — this is exactly where The Fold earns its place in the book.
Evidence
Decades of literature plus in-sample confirmation: 60% win-rate, +0.8 average R, conviction steady. Robust but crowded, so the after-cost edge is modest and depends on clean execution.
Flywheel Automation
An earnings-surprise scanner feeds an Alpaca executor next session. Latency-tolerant and diversified, so downtime cost is low — a missed name is one of many.