Holding through the announcement had slightly higher CAGR than no rebalancing, but also higher GSD (From 20120702 To 20241113, no friction):

      Screen        CAGR  GSD  MDD  Sharpe  AT  Depth
 ThruAnnounNas100   20.3  29   -42   0.79   21    6
  Nas100NoRebal     19.6  21   -37   0.99   0    100
Nas100MonthlyRebal  16.1  19   -31   0.89   1    100

{ThruAnnounNas100} buys the stocks with the soonest expected report date, and holds for 10 days. For example, at times buying the day before earnings and holding for 10 days.

Define {ThruAnnounNas100}
step0: [NASDAQ 100 Member; lag=1 days] == 1
step1: [SI EPS Est Q0-Exp Rep Date; lag=1 days] > 0
step2: [SI EPS Est Q0-Exp Rep Date; lag=1 days] Bottom 4; Cash When Fewer
Holding period = 10 mkt days
Rebalance to equal weight among new positions only
All trades at market close.
https://gtr1.net/2013/?~ThruAnnounNas100:h10r0::na...

Note that repdtq0.s is not an Ordinal (e.g. ord:1 is 26109, and NVDA repdtq0.s is 20241120).

quarter ends:
perendq1.s [SI Q1 Ending Date as Ordinal]
dateeq0.s [SI Latest Quarterly EPS Date as Ordinal]

announcement dates:
qsdate.s [SI Quarterly Surprise Date as Ordinal]
repdtq0.s [SI EPS Est Q0-Exp Rep Date]

Mechanical Investing FAQ

---

Contact Shrewd'm
Contact the developer of these message boards.