$FB stock price historical ER reaction

 $FB stock price historical ER reaction

FB& editable one

ER Date Gap % CFO % Full Day %
29-Jul-15 ?? ?? ??
22-Apr-15 -0.63 -2.01 -2.62
28-Jan-15 0.80 1.50 2.31
28-Oct-14 -6.59 0.54 -6.08
23-Jul-14 6.55 -1.29 5.18
23-Apr-14 3.65 -4.29 -0.80
29-Jan-14 16.05 -1.67 14.10
30-Oct-13 -3.77 6.47 2.45
24-Jul-13 26.52 2.44 29.61
01-May-13 2.11 3.43 5.61
30-Jan-13 -6.69 6.28 -0.83
23-Oct-12 23.74 -3.73 19.13
26-Jul-12 -13.63 2.24 -11.69
# 12 12 12
wins 7 7 7
%wins 58 58 58
avg 4.01 0.83 4.70
med 1.46 1.02 2.38
max 26.52 6.47 29.61
min -13.63 -4.29 -11.69
avg(abs) 9.23 2.99 8.37
Gap -> Chg % from close to next day open after ER
CFO -> Chg % from next open to next close after ER
Full Day -> Chg % from close to before ER to next close

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$AAPL earning’s and historical price reaction since Y2k

$AAPL earning’s and historical price reaction

AAPL Earningswith almost $750 bn at stake , below various studies around $AAPL historical earnings ..

as $AAPL announces earnings , after market close , the change % on the  next day is considered as the ER day change

1) $AAPL trading odds for longs on the ER day , ( change from ER prior day’s close to next day’s close) , since Y2K 

# 62
Winners : 36
Losers : 26
% Winners : 58%
Average Change % : 1.24
Median Change % : 2.64
Maximum Gain % : 13.16
Maximum Loss % : -17.17
Average Gain %if Winner : 6.02
Average Loss % if Loser : -5.38
Payoff Ratio * 1.12
Average Absolute Change% 5.82

* Payoff Ratio is average winner (%) divided by average loser (%)

1-a) $AAPL trading odds for longs on the ER day night , ( change from ER prior day’s close to next day’s open) , since Y2K 

# 62
Winners : 39
Losers : 23
% Winners : 63%
Average Change % : 1.71
Median Change % : 2.19
Maximum Gain % : 12.68
Maximum Loss % : -13.23
Average Gain %if Winner : 5.82
Average Loss % if Loser : -5.26
Payoff Ratio 1.11
Average Absolute Change% 5.68

1-c) $AAPL trading odds for longs , from the open to close , after ER ( i’e the day session;s change , after the ER is out ) , since Y2K 

# 62
Winners : 21
Losers : 41
% Winners : 34%
Average Change % : -0.46
Median Change % : -0.64
Maximum Gain % : 8.74
Maximum Loss % : -5.30
Average Gain %if Winner : 2.25
Average Loss % if Loser : -1.89
Payoff Ratio 1.19
Average Absolute Change% 1.97

2) when $AAPL is trading with-in 10% to ATH ( like the case as is today) , ER full day trading odds for longs , since Y2K

# 24
Winners : 15
Losers : 9
% Winners : 63%
Average Change % : 1.10
Median Change % : 2.51
Maximum Gain % : 6.77
Maximum Loss % : -9.21
Average Gain %if Winner : 4.35
Average Loss % if Loser : -4.31
Payoff Ratio 1.01
Average Absolute Change% : 4.46

2-a) when $AAPL is trading with-in 10% to ATH , ER day over night trading odds for longs , since Y2K 

# 24
Winners : 17
Losers : 7
% Winners : 71%
Average Change % : 2.62
Median Change % : 3.47
Maximum Gain % : 12.60
Maximum Loss % : -5.70
Average Gain %if Winner : 5.43
Average Loss % if Loser : -4.23
Payoff Ratio 1.29
Average Absolute Change% : 5.24

2-b) when $AAPL is trading with-in 10% to ATH , ER day , regular session’s trading odds for longs , since Y2K 

# 24
Winners : 6
Losers : 18
% Winners : 25%
Average Change % : -1.44
Median Change % : -1.49
Maximum Gain % : 2.01
Maximum Loss % : -5.30
Average Gain %if Winner : 0.90
Average Loss % if Loser : -2.36
Payoff Ratio 0.38
Average Absolute Change% : 1.85

3) $AAPL full day change after ER , in the July / Q2 earnings , since Y2K

# 15
Winners : 10
Losers : 5
% Winners : 67%
Average Change % : 0.75
Median Change % : 2.67
Maximum Gain % : 11.83
Maximum Loss % : -17.17
Average Gain %if Winner : 5.58
Average Loss % if Loser : -8.90
Payoff Ratio 0.63
Average Absolute Change% : 6.68

conclusion –

1) “if  the setup of $AAPL trading within 10% to ATH closing , repeats itself , perhaps , a long into ER night and then reverse the trade in the morning ??”

2) ” the max gain on ER day is 13.2 % , so forget about 150 weeklies 🙂 “

 

below the historical ER dates and $AAPL , over night gap , next day open to change  & full day change details , in percentage , since Y2K

ER-Date Over Night Gap % Next Day Open to Close % Full Day Change % Absoulte Change %
21-Jul-15 ?? ?? ?? ??
27-Apr-15 1.36 -2.90 -1.58 1.58
27-Jan-15 7.78 -1.97 5.65 5.65
20-Oct-14 3.27 -0.53 2.72 2.72
22-Jul-14 0.74 1.85 2.61 2.61
23-Apr-14 8.28 -0.08 8.20 8.20
27-Jan-14 -7.58 -0.44 -7.99 7.99
28-Oct-13 1.21 -3.65 -2.49 2.49
23-Jul-13 4.76 0.36 5.14 5.14
23-Apr-13 -3.10 3.03 -0.16 0.16
23-Jan-13 -10.51 -2.07 -12.36 12.36
25-Oct-12 -0.02 -0.89 -0.91 0.91
24-Jul-12 -4.40 0.09 -4.32 4.32
24-Apr-12 9.88 -0.92 8.87 8.87
24-Jan-12 8.09 -1.71 6.24 6.24
18-Oct-11 -4.95 -0.68 -5.59 5.59
19-Jul-11 5.11 -2.33 2.67 2.67
20-Apr-11 3.68 -1.21 2.42 2.42
18-Jan-11 2.26 -2.73 -0.53 0.53
18-Oct-10 -4.59 2.01 -2.68 2.68
20-Jul-10 5.24 -4.09 0.93 0.93
20-Apr-10 5.81 0.16 5.98 5.98
25-Jan-10 1.42 0.00 1.41 1.41
19-Oct-09 5.66 -0.92 4.69 4.69
21-Jul-09 4.14 -0.67 3.45 3.45
22-Apr-09 4.21 -0.96 3.20 3.20
21-Jan-09 6.29 0.36 6.68 6.68
21-Oct-08 6.43 -0.51 5.88 5.88
21-Jul-08 -10.40 8.74 -2.57 2.57
23-Apr-08 1.50 2.18 3.71 3.71
22-Jan-08 -12.50 2.11 -10.65 10.65
22-Oct-07 8.14 -1.27 6.77 6.77
25-Jul-07 6.30 0.06 6.37 6.37
25-Apr-07 6.53 -2.70 3.66 3.66
17-Jan-07 -3.00 -3.29 -6.19 6.19
18-Oct-06 6.35 -0.34 5.98 5.98
19-Jul-06 12.68 -0.75 11.83 11.83
19-Apr-06 5.88 -2.70 3.02 3.02
18-Jan-06 -1.50 -2.72 -4.18 4.18
11-Oct-05 -5.70 1.23 -4.54 4.54
13-Jul-05 6.36 -0.10 6.26 6.26
13-Apr-05 -5.43 -3.99 -9.21 9.21
12-Jan-05 12.60 -5.30 6.63 6.63
13-Oct-04 8.65 4.14 13.16 13.16
14-Jul-04 10.41 0.83 11.32 11.32
14-Apr-04 8.18 1.67 9.98 9.98
14-Jan-04 -5.33 -0.26 -5.58 5.58
15-Oct-03 -4.11 -2.31 -6.33 6.33
16-Jul-03 1.61 3.52 5.18 5.18
16-Apr-03 -0.30 -0.61 -0.91 0.91
15-Jan-03 -1.52 2.89 1.32 1.32
16-Oct-02 -2.40 -0.70 -3.09 3.09
16-Jul-02 -9.69 -3.10 -12.49 12.49
17-Apr-02 -2.34 -0.35 -2.68 2.68
16-Jan-02 5.68 2.37 8.18 8.18
17-Oct-01 1.77 4.11 5.94 5.94
17-Jul-01 -13.23 -4.55 -17.17 17.17
18-Apr-01 12.11 0.67 12.86 12.86
17-Jan-01 5.95 4.91 11.15 11.15
18-Oct-00 -4.81 -1.14 -5.90 5.90
18-Jul-00 -3.60 -4.53 -7.97 7.97
19-Apr-00 2.12 -3.89 -1.86 1.86
19-Jan-00 8.39 -1.73 6.51 6.51

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$FDX unfilled gap up closings post ER , since Jan 2000

$FDX unfilled gap up closings post ER , since Jan 2000

$fdx stock chartwith $FDX posting an unfilled gap up ( current low > previous close) , below the trading odds for $FDX longs after an unfilled gap up on ER day since Jan 2000 ,

for a 1o trading day’s holding period

  • Winners : 13
  • Losers : 3
  • % Winners : 81%
  • Average Change % : 3.73
  • Median Change % : 3.07
  • Maximum Gain % : 8.91
  • Maximum Loss % : -2.05
  • Average Gain %if Winner : 4.90
  • Average Loss % if Loser : -1.34
  • Payoff Ratio 3.67

for a 20 trading day holding period 

  • Winners : 12
  • Losers : 4
  • % Winners : 75%
  • Average Change % : 4.43
  • Median Change % : 5.53
  • Maximum Gain % : 18.07
  • Maximum Loss % : -5.03
  • Average Gain %if Winner : 6.98
  • Average Loss % if Loser : -3.23
  • Payoff Ratio 2.16

Historical instances of $FDX unfilled gap up closings post ER , since Jan 2000

$FDX unfilled gap up closings on ER day's since Jan 2000

 

 

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$PCLN Earnings day cheat sheet since Jun 2009

$PCLN Earnings day cheat sheet since Jun 2009

 

$PCLN ER day cheat sheet since Jun 2009

 

Gap ; is the overnight movement from the previous close to the opening on the earnings day

CFO : is the Change From Open

T : is the over all change in percent on the Earnings day

up 76% times on the ER day morning , with a max loss of -15.4% and median gain of 6.2%

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PEAD play into $BAC Earnings with 13/18 losers

PEAD play into $BAC Earnings with 13/18 losers

Below a look at the $BAC PEAD ( Post Earnings Announcement Ditch not Drift ) since Jul -2009.

Strategy 1) Enter long the day before before $BAC Earnings day ( in this case 14th Jan 2014 close ) and exit at close after Earnings are announced ( $BAC announces the results Before Market Open on 15th Jan 2014) , so our exit is at 15 Jan 2013 close .

below the trading odds for the $BAC longs entered at close and with exit set to the earnings reporting days close

  • Winners : 5
  • Losers : 13
  • % Winners : 28%
  • Average Change % : -1.59
  • Median Change % : -2.05
  • Maximum Gain % : 10.22
  • Maximum Loss % : -9.16
  • Average Gain %if Winner : 3.74
  • Average Loss % if Loser : -3.64
  • Payoff Ratio 1.03
  • Average Absolute Change% : 3.13

A practical application of the above observation would be to short $BAC into earnings ,  as it is not recommended to short  the individual stock , perhaps one could buy some puts or , forget being long into earnings and watch from sidelines ??

Below the table with the prior instances of $BAC change % details on the Earnings , since Jun 2009 .

$BAC Stock Performance on the ER day since Jun 2009
Date Quarter Close Prev Date Prev Close  ER Day Change%
15-Jan-14 Dec-13 ?? 14-Jan-14 ?? ??
16-Oct-13 Sep-13 14.55 15-Oct-13 14.23 2.25
17-Jul-13 Jun-13 14.29 16-Jul-13 13.9 2.81
17-Apr-13 Mar-13 11.68 16-Apr-13 12.25 -4.65
17-Jan-13 Dec-12 11.25 16-Jan-13 11.74 -4.17
17-Oct-12 Sep-12 9.4 16-Oct-12 9.42 -0.21
18-Jul-12 Jun-12 7.49 17-Jul-12 7.88 -4.95
19-Apr-12 Mar-12 8.71 18-Apr-12 8.86 -1.69
19-Jan-12 Dec-11 6.91 18-Jan-12 6.75 2.37
18-Oct-11 Sep-11 6.58 17-Oct-11 5.97 10.22
19-Jul-11 Jun-11 9.46 18-Jul-11 9.61 -1.56
15-Apr-11 Mar-11 12.67 14-Apr-11 12.97 -2.31
21-Jan-11 Dec-10 14.07 20-Jan-11 14.36 -2.02
19-Oct-10 Sep-10 11.64 18-Oct-10 12.17 -4.35
16-Jul-10 Jun-10 13.78 15-Jul-10 15.17 -9.16
16-Apr-10 Mar-10 18.14 15-Apr-10 19.19 -5.47
20-Jan-10 Dec-09 16.24 19-Jan-10 16.07 1.06
16-Oct-09 Sep-09 16.98 15-Oct-09 17.81 -4.66
17-Jul-09 Jun-09 12.68 16-Jul-09 12.95 -2.08
avg -1.59
%wins 28

Below the colorful table with the prior instances of $BAC earnings results day stock perfromance , since Jun 2009

$BAC Stock Performance on the ER day since Jun 2009

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PEAD play into $INTC Earnings with 17/18 winners

PEAD play into $INTC Earnings with 17/18 winners

Below a look at the $INTC PEAD ( Pre Earnings Announcement Drift ) since Jul -2009.

Strategy 1) Enter longs at 3 days before the $INTC Earnings day ( in this case 13th Jan 2014 close ) and exit before the Earnings are announced ( $INTC announces the results After Market Close on 16th Jan 2014) , so our exit is at 16 Jan 2013 close .

below the trading odds for the $INTC longs 3 days before into Earnings

  • Winners : 17
  • Losers : 1
  • % Winners : 94%
  • Average Change % : 2.20
  • Median Change % : 2.28
  • Maximum Gain % : 5.09
  • Maximum Loss % : -0.04
  • Average Gain %if Winner : 2.34
  • Average Loss % if Loser : -0.04
  • Payoff Ratio 62.30

if three days is a bit longer time frame ,

Strategy 2) Enter longs at 2 days before the $INTC Earnings day ( in this case 14th Jan 2014 close ) and at 16 Jan 2013 close .

  • Winners : 17
  • Losers : 1
  • % Winners : 94%
  • Average Change % : 1.99
  • Median Change % : 1.35
  • Maximum Gain % : 4.94
  • Maximum Loss % : -0.42
  • Average Gain %if Winner : 2.13
  • Average Loss % if Loser : -0.42
  • Payoff Ratio 5.13

Below the table with the prior instances of $INTC PEAD results .

ER Date $INTC T-3 Date $INTC Change % T-2 Date $INTC Change %
15-Oct-13 23.17 10-Oct-13 22.89 1.22 11-Oct-13 23.04 0.56
17-Jul-13 23.69 12-Jul-13 23.45 1.02 15-Jul-13 23.49 0.85
16-Apr-13 21.31 11-Apr-13 21.22 0.42 12-Apr-13 21.07 1.14
17-Jan-13 21.81 14-Jan-13 21.16 3.07 15-Jan-13 21.04 3.66
16-Oct-12 21.27 11-Oct-12 20.64 3.05 12-Oct-12 20.45 4.01
17-Jul-12 23.95 12-Jul-12 23.34 2.61 13-Jul-12 23.82 0.55
17-Apr-12 26.67 12-Apr-12 26.68 -0.04 13-Apr-12 26.31 1.37
19-Jan-12 23.82 13-Jan-12 23.36 1.97 17-Jan-12 23.27 2.36
18-Oct-11 21.56 13-Oct-11 21.55 0.05 14-Oct-11 21.65 -0.42
20-Jul-11 20.97 15-Jul-11 20.41 2.74 18-Jul-11 20.33 3.15
19-Apr-11 17.98 14-Apr-11 17.72 1.47 15-Apr-11 17.88 0.56
13-Jan-11 19.11 10-Jan-11 18.57 2.91 11-Jan-11 18.89 1.16
12-Oct-10 17.61 07-Oct-10 17.28 1.91 08-Oct-10 17.38 1.32
13-Jul-10 18.57 08-Jul-10 17.77 4.50 09-Jul-10 17.89 3.80
13-Apr-10 19.98 08-Apr-10 19.58 2.04 09-Apr-10 19.79 0.96
14-Jan-10 18.7 11-Jan-10 18.24 2.52 12-Jan-10 17.94 4.24
13-Oct-09 17.71 08-Oct-09 17.18 3.08 09-Oct-09 17.43 1.61
14-Jul-09 14.44 09-Jul-09 13.74 5.09 10-Jul-09 13.76 4.94

Below the colorful table with the prior instances of $INTC PEAD results .

$INTC Pre Earnings Drift Play since Jul 2009

 

You might want to subscribe to Earnings Database Search to find trading opportunities around Earnings

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