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dso_drift_severe on SemiLEDs Corp (LEDS)
SIC 3674 — Semiconductors & Related Devices · CIK 1333822 · default direction: short
Definition
Fires on Days Sales Outstanding rising >25% YoY while revenue grows <10%. Channel-stuffing / receivables-quality precursor.
Every time the signal fired on LEDS
| FY | Filing date | Event date | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|---|
| FY2020 | 2020-11-17 | 2020-11-17 | -2.62% | +5.90% | +0.00% | +119.02% | +130.49% |
| FY2019 | 2019-11-20 | 2019-11-20 | +0.00% | +0.88% | -4.85% | -5.73% | +34.80% |
| FY2017 | 2017-11-29 | 2017-11-29 | -11.98% | -25.75% | -22.36% | -14.97% | -26.75% |
| FY2014 | 2014-12-12 | 2014-12-12 | +13.24% | +22.06% | +35.29% | +51.47% | -36.76% |
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 | 2,382 | +0.25% | +44.16% | short | -0.49% | 35 | -0.04 |
| 5d | 2,381 | -0.30% | +44.18% | short | +0.11% | 36 | +0.01 |
| 20d | 2,351 | +2.47% | +43.26% | short | -2.54% | 40 | -0.02 |
| 60d | 2,258 | +16.34% | +45.44% | short | -11.34% | 51 | -0.06 |
| 252d | 2,213 | +32.55% | +49.30% | short | -24.65% | 102 | -0.10 |
Net PnL is direction × stock return − round-trip execution cost (5 bps half-spread + ADV-tiered borrow). See dso_drift_severe methodology for the full audit.