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margin_compression_severe on STEEL DYNAMICS INC (STLD)
SIC 3312 — Steel Works, Blast Furnaces & Rolling Mills (Coke Ovens) · CIK 1022671 · 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 STLD
| FY | Filing date | Event date | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|---|
| FY2024 | 2025-02-28 | 2025-02-28 | -3.38% | -7.43% | -8.22% | -4.30% | +48.30% |
| FY2023 | 2024-02-29 | 2024-02-29 | -0.08% | -1.05% | +11.12% | -0.04% | -4.18% |
| FY2019 | 2020-02-27 | 2020-02-27 | -0.97% | -4.61% | -23.39% | -8.01% | +60.55% |
| FY2009 | 2010-02-22 | 2010-02-22 | -4.23% | -0.71% | +4.40% | -13.32% | +22.67% |
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.