← positive_eps_streak (all companies) · ALL (all signals) · all methodology
positive_eps_streak on ALLSTATE CORP (ALL)
SIC 6331 — Fire, Marine & Casualty Insurance · CIK 899051 · default direction: long
Definition
Fires on companies with consecutive years of positive earnings — quality compounder candidates. Surfaces stable franchises with earnings durability, not speculative growth.
Every time the signal fired on ALL
| FY | Filing date | Event date | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|---|
| FY2021 | 2022-02-18 | 2022-02-18 | -0.64% | -2.12% | +7.62% | +3.36% | +8.73% |
| FY2020 | 2021-02-22 | 2021-02-22 | +2.56% | +4.19% | +7.37% | +31.18% | +22.72% |
| FY2019 | 2020-02-21 | 2020-02-21 | -2.49% | -14.44% | -39.95% | -19.49% | -12.96% |
| FY2018 | 2019-02-15 | 2019-02-15 | +0.25% | +0.55% | +1.22% | +0.92% | +34.35% |
| FY2017 | 2018-02-26 | 2018-02-26 | -1.82% | -2.50% | -0.79% | +0.64% | +0.63% |
| FY2016 | 2017-02-17 | 2017-02-17 | +0.22% | +1.59% | +2.87% | +5.32% | +18.38% |
| FY2015 | 2016-02-19 | 2016-02-19 | +0.69% | +1.02% | +5.59% | +6.09% | +28.16% |
| FY2014 | 2015-02-19 | 2015-02-19 | +0.60% | +0.62% | -0.38% | -4.61% | -8.38% |
| FY2013 | 2014-02-20 | 2014-02-20 | +0.73% | +1.95% | +4.45% | +8.55% | +36.43% |
| FY2012 | 2013-02-20 | 2013-02-20 | +0.13% | -0.23% | +3.85% | +8.68% | +17.60% |
| FY2011 | 2012-02-22 | 2012-02-22 | +0.38% | -0.13% | +4.22% | +5.47% | +47.76% |
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 | 21,256 | +0.05% | +49.53% | long | -0.16% | 22 | -0.04 |
| 5d | 21,258 | +0.10% | +50.10% | long | -0.10% | 22 | -0.00 |
| 20d | 21,218 | -0.80% | +49.80% | long | -1.03% | 22 | -0.04 |
| 60d | 19,852 | +1.64% | +54.15% | long | +1.48% | 22 | +0.04 |
| 252d | 19,501 | +13.65% | +64.44% | long | +13.47% | 22 | +0.27 |
Net PnL is direction × stock return − round-trip execution cost (5 bps half-spread + ADV-tiered borrow). See positive_eps_streak methodology for the full audit.