← dso_drift_severe (all companies) · SXC (all signals) · all methodology
dso_drift_severe on SunCoke Energy, Inc. (SXC)
SIC 3312 — Steel Works, Blast Furnaces & Rolling Mills (Coke Ovens) · CIK 1514705 · 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 SXC
| FY | Filing date | Event date | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|---|
| FY2021 | 2022-02-24 | 2022-02-24 | +3.85% | +23.08% | +20.82% | +3.18% | +29.12% |
| FY2013 | 2014-02-28 | 2014-02-28 | +0.54% | +5.07% | +2.11% | -9.52% | -19.18% |
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.