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dso_drift_severe on ONEOK INC /NEW/ (OKE)
SIC 4923 — Natural Gas Transmisison & Distribution · CIK 1039684 · 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 OKE
| FY | Filing date | Event date | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|---|
| FY2023 | 2024-02-27 | 2024-02-27 | +0.00% | +4.24% | +5.78% | +11.15% | +41.22% |
| FY2019 | 2020-02-25 | 2020-02-25 | -0.43% | -7.28% | -70.04% | -48.76% | -28.53% |
| FY2015 | 2016-02-23 | 2016-02-23 | +0.99% | +13.56% | +41.76% | +91.49% | +165.07% |
| FY2012 | 2013-02-26 | 2013-02-26 | +1.80% | +2.23% | +4.87% | +9.45% | +56.36% |
| FY2009 | 2010-10-12 | 2010-10-12 | +1.22% | +0.29% | +6.20% | +16.65% | +51.40% |
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.