Event driven: 13 Backtests
Data last updated
Rules that trade the days after an unusual event, such as a price gap, and compare against matched controls.
5 of 13 strategies finished ahead of the benchmark on the raw number, and 0 had an unadjusted p-value under 0.05. None cleared the correction for trying 1,774 tests in total (a q-value below 0.10), so no result here is a confirmed edge. Scored 2026-10-31, using data up to 2025-03-15.
Strategies here tested on US stocks. See the full family index, the full method and every result, or download the raw registry (JSON).
Results
| Rule | Market | Vs benchmark | Sample | p-value | Corrected q | Receipt |
|---|---|---|---|---|---|---|
| Earnings-reaction momentum: the 8 large caps with the best average return on their 4 highest-volume days of the past year, monthly receipt Source: c1031/stockxs | US stocks | +5.2 pts/yr | 89 rebalances | 0.128 | 1.000 | On-site receipt |
| Control: same 40-day drift book, gap only, NO volume confirmation receipt Source: none published (Tickfloor research-desk test) | US stocks | +2.9 pts/yr | 2,114 rebalances | 0.193 | 1.000 | On-site receipt |
| PEAD drift window: volume-confirmed earnings-gap, 40-day hold receipt Source: Bernard & Thomas (1989) JAR; Chan, Jegadeesh & Lakonishok (1996) JF | US stocks | +2.6 pts/yr | 2,114 rebalances | 0.241 | 1.000 | On-site receipt |
| Earnings-announcement-return drift, volume-identified events (wide US stocks) receipt Source: Chan, Jegadeesh & Lakonishok 1996 JF (momentum strategies; announcement-return drift); Brandt, Kishore, Santa-Clara & Venkatachalam 2008 | US stocks | +1.0 pts/yr | 102 rebalances | 0.313 | 1.000 | On-site receipt |
| Earnings-announcement premium, volume-seasonal proxy (wide US stocks) receipt Source: Frazzini & Lamont 2007 NBER; Barber, De George, Lehavy & Trueman 2013 JFE; Savor & Wilson 2016 JF | US stocks | +0.7 pts/yr | 102 rebalances | 0.424 | 1.000 | On-site receipt |
| Unfilled up-gap continuation, weekly (wide US stocks) receipt Source: Replication of sweep150 t14-3 (unfilled gap continuation, 17 tech names) on 171 names; Plastun, Sibande, Gupta & Wohar 2020 NAJEF (price gap anomaly in the US stock market) | US stocks | −0.9 pts/yr | 443 rebalances | 1.000 | 1.000 | On-site receipt |
| Breakaway-gap frequency: the 8 large caps with the most opening gaps above the prior day's high in 6 months, monthly receipt Source: c1031/stockxs | US stocks | −2.7 pts/yr | 95 rebalances | 1.000 | 1.000 | On-site receipt |
| Abnormal Volume receipt Source: Gervais, Kaniel & Mingelgrin 2001 (high-volume return premium) | US stocks | −4.6 pts/yr | 443 rebalances | 1.000 | 1.000 | On-site receipt |
| Event-day intraday follow-through: the 8 large caps whose latest volume spike closed furthest above its open, monthly receipt Source: c1031/stockxs | US stocks | −4.7 pts/yr | 95 rebalances | 1.000 | 1.000 | On-site receipt |
| Gap-shock event drift, 20-day overlapping cohorts receipt Source: Bernard & Thomas (1989) JAR; Chan, Jegadeesh & Lakonishok (1996) JF | US stocks | −10.7 pts/yr | 1,934 rebalances | 1.000 | 1.000 | On-site receipt |
| PEAD via earnings-day price gap proxy (wide US stocks) receipt Source: Chan, Jegadeesh & Lakonishok (1996) Journal of Finance | US stocks | −22.6 pts/yr | 835 rebalances | 1.000 | 1.000 | On-site receipt |
| PEAD via earnings-day price gap proxy receipt Source: Chan, Jegadeesh & Lakonishok (1996) Journal of Finance | US stocks | −24.5 pts/yr | 233 rebalances | 1.000 | 1.000 | On-site receipt |
| Control: gap-shock cohorts, direction from pre-event momentum receipt Source: none published (Tickfloor research-desk test) | US stocks | −24.7 pts/yr | 1,934 rebalances | 1.000 | 1.000 | On-site receipt |
- Earnings-reaction momentum: the 8 large caps with the best average return on their 4 highest-volume days of the past year, monthly
US stocks · +5.2 pts/yr · 89 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/stockxs
- p-value
- 0.128
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Control: same 40-day drift book, gap only, NO volume confirmation
US stocks · +2.9 pts/yr · 2,114 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 0.193
- Corrected q
- 1.000
- Receipt
- On-site receipt
- PEAD drift window: volume-confirmed earnings-gap, 40-day hold
US stocks · +2.6 pts/yr · 2,114 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Bernard & Thomas (1989) JAR; Chan, Jegadeesh & Lakonishok (1996) JF
- p-value
- 0.241
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Earnings-announcement-return drift, volume-identified events (wide US stocks)
US stocks · +1.0 pts/yr · 102 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Chan, Jegadeesh & Lakonishok 1996 JF (momentum strategies; announcement-return drift); Brandt, Kishore, Santa-Clara & Venkatachalam 2008
- p-value
- 0.313
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Earnings-announcement premium, volume-seasonal proxy (wide US stocks)
US stocks · +0.7 pts/yr · 102 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Frazzini & Lamont 2007 NBER; Barber, De George, Lehavy & Trueman 2013 JFE; Savor & Wilson 2016 JF
- p-value
- 0.424
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Unfilled up-gap continuation, weekly (wide US stocks)
US stocks · −0.9 pts/yr · 443 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Replication of sweep150 t14-3 (unfilled gap continuation, 17 tech names) on 171 names; Plastun, Sibande, Gupta & Wohar 2020 NAJEF (price gap anomaly in the US stock market)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Breakaway-gap frequency: the 8 large caps with the most opening gaps above the prior day's high in 6 months, monthly
US stocks · −2.7 pts/yr · 95 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/stockxs
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Abnormal Volume
US stocks · −4.6 pts/yr · 443 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Gervais, Kaniel & Mingelgrin 2001 (high-volume return premium)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Event-day intraday follow-through: the 8 large caps whose latest volume spike closed furthest above its open, monthly
US stocks · −4.7 pts/yr · 95 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/stockxs
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Gap-shock event drift, 20-day overlapping cohorts
US stocks · −10.7 pts/yr · 1,934 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Bernard & Thomas (1989) JAR; Chan, Jegadeesh & Lakonishok (1996) JF
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- PEAD via earnings-day price gap proxy (wide US stocks)
US stocks · −22.6 pts/yr · 835 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Chan, Jegadeesh & Lakonishok (1996) Journal of Finance
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- PEAD via earnings-day price gap proxy
US stocks · −24.5 pts/yr · 233 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Chan, Jegadeesh & Lakonishok (1996) Journal of Finance
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Control: gap-shock cohorts, direction from pre-event momentum
US stocks · −24.7 pts/yr · 1,934 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
How to read these results
"Vs benchmark" is the strategy's annualized return minus an equal-weight benchmark, rebalanced daily, on the same assets and days. Strategies are charged trading costs; the benchmark pays none. Ahead is not a confirmed edge: the p-value is the unadjusted chance of a gap this large by luck, and the corrected q allows for how many strategies were tried, because testing hundreds of ideas throws up lucky winners. Every strategy saw only data up to the same cutoff date. The receipt is the frozen result file for that rule.
"Sample" is trades for rules that enter and exit a position, and rebalances for portfolio rules. A rebalance is a scheduled date on which a portfolio rule re-ranks and held at least one position. It is the sample size for portfolio rules. A holdings change is a rebalance where what the portfolio held, or its weights, differed from the previous one. Only these cost money to trade. The two are different counts and are never swapped. Definitions.