← beneish_m_score_high (all companies) · WAB (all signals) · all methodology
beneish_m_score_high on WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP (WAB)
SIC 3743 — Railroad Equipment · CIK 943452 · default direction: short
Definition
Beneish 5-factor M-Score above the manipulator threshold (-1.78). Composite of DSO, gross margin, asset quality, sales growth, depreciation.
Every time the signal fired on WAB
| FY | Filing date | Event date | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|---|
| FY2019 | 2020-02-24 | 2020-02-24 | -2.36% | -7.97% | -44.64% | -24.87% | +1.06% |
| FY2017 | 2018-02-26 | 2018-02-26 | -2.12% | -0.79% | -3.85% | +16.41% | -9.70% |
| FY2016 | 2017-02-28 | 2017-02-28 | +1.54% | -0.77% | -5.38% | +2.37% | +2.15% |
Forward returns are stock returns from event date (next trading day after filing). Sign is raw stock direction; the trade direction is in the calibration table below.
Universe-wide calibration (this signal across all companies)
| Horizon | n events | Gross stock ret | Hit rate | Trade dir | Net PnL | Cost (bps) | r/σ net |
|---|---|---|---|---|---|---|---|
| 1d | 2,937 | +0.04% | +45.86% | short | -0.28% | 32 | -0.04 |
| 5d | 2,937 | +0.10% | +45.83% | short | +0.06% | 33 | +0.01 |
| 20d | 2,915 | +2.64% | +44.43% | short | -2.76% | 37 | -0.02 |
| 60d | 2,798 | +11.23% | +46.71% | short | -11.63% | 47 | -0.03 |
| 252d | 2,745 | +47.23% | +50.93% | short | -48.06% | 96 | -0.04 |
Net PnL is direction × stock return − round-trip execution cost (5 bps half-spread + ADV-tiered borrow). See beneish_m_score_high methodology for the full audit.