Rejected thesis
PEAD × sector tailwind (combination)
Thesis (rejected as combination): PEAD edge should amplify when the name's sector ETF has been a top-decile performer over 6 months (stacked catalyst + macro signal).
Code: research/pead_sector_tailwind.py
Report: research/pead_sector_tailwind_report.json (n=597 PEAD
events stratified by sector momentum)
Why it didn't help: PEAD edge is invariant to sector context. 20-day forward returns:
| Bucket | n | 20d mean | Hit |
|---|---|---|---|
| all PEAD events | 597 | +5.4 % | 60 % |
| sector top quartile | 136 | +5.8 % | 63 % |
| sector top half | 269 | +5.5 % | 60 % |
| sector bottom half | 328 | +5.3 % | 61 % |
| sector bottom quartile | 175 | +6.1 % | 63 % |
Top-quartile-sector minus bottom-quartile-sector spread at 20 d: -0.3 pp. Essentially zero. PEAD's catalyst signal is strong enough that it doesn't need (and is not amplified by) macro context.
Verdict: Don't bother layering sector momentum onto PEAD.
| Sample | 597 |
|---|---|
| Validator | research/pead_sector_tailwind.py |
| Verdict | Rejected |
Every result here is reproducible from the script named above. Reports are in the repository.
- Volatility squeeze
- Pre-FOMC drift
- Uptrend pullback
- Momentum continuation
- Industry-relative momentum (at 4-week lookback)
- Earnings-reaction reversal (anti-PEAD)
- Beat-persistence pre-earnings drift
- Sector ETF mean-reversion
- 52-week-high breakout
- Volume accumulation (above-200DMA +...
- Cross-sector momentum
- Analyst-upgrade cluster