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margin_compression_severe on GRAFTECH INTERNATIONAL LTD (EAF)
SIC 3620 — Electrical Industrial Apparatus · CIK 931148 · default direction: short
Definition
Fires on >500 bps year-over-year decline in operating margin. Captures the 'good business getting worse' pattern.
Every time the signal fired on EAF
| FY | Filing date | Event date | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|---|
| FY2024 | 2025-02-14 | 2025-02-14 | -5.26% | +5.26% | -4.39% | -25.70% | -46.58% |
| FY2023 | 2024-02-14 | 2024-02-14 | +5.97% | -5.97% | +23.88% | +28.36% | -19.40% |
| FY2021 | 2022-02-22 | 2022-02-22 | -0.93% | +1.66% | +7.46% | -16.58% | -41.59% |
| FY2013 | 2014-02-27 | 2018-04-19 | +7.27% | +12.46% | +31.90% | +19.80% | -8.16% |
| FY2009 | 2010-02-23 | 2018-04-19 | +7.27% | +12.46% | +31.90% | +19.80% | -8.16% |
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 | 2,429 | +2.00% | +36.27% | short | -2.03% | 46 | -0.02 |
| 5d | 2,429 | +3.35% | +38.74% | short | -2.80% | 47 | -0.02 |
| 20d | 2,364 | +6.26% | +38.32% | short | -4.81% | 52 | -0.03 |
| 60d | 2,266 | +78.74% | +40.47% | short | -75.14% | 65 | -0.03 |
| 252d | 2,195 | +41.39% | +39.77% | short | -31.94% | 126 | -0.09 |
Net PnL is direction × stock return − round-trip execution cost (5 bps half-spread + ADV-tiered borrow). See margin_compression_severe methodology for the full audit.