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positive_eps_streak on ANNALY CAPITAL MANAGEMENT INC (NLY)
SIC 6798 — Real Estate Investment Trusts · CIK 1043219 · 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 NLY
| FY | Filing date | Event date | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|---|
| FY2018 | 2019-02-15 | 2019-02-15 | -0.10% | -0.98% | +1.67% | -3.65% | +14.95% |
| FY2017 | 2018-02-16 | 2018-02-16 | -2.90% | -2.53% | -1.78% | -0.46% | +6.34% |
| FY2013 | 2014-02-27 | 2014-02-27 | +0.09% | +0.36% | +0.98% | +8.16% | +5.78% |
| FY2012 | 2013-02-26 | 2013-02-26 | +1.19% | +1.85% | +6.34% | -1.27% | -16.91% |
| FY2011 | 2012-02-28 | 2012-02-28 | -0.66% | -1.79% | -2.93% | +2.27% | +3.64% |
| FY2010 | 2011-02-25 | 2011-02-25 | +1.01% | +0.73% | +2.08% | +5.08% | +8.22% |
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.