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positive_eps_streak on Invesco DB US Dollar Index Bullish Fund (UUP)
SIC 6221 — Commodity Contracts Brokers & Dealers · CIK 1383151 · 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 UUP
| FY | Filing date | Event date | 1d | 5d | 20d | 60d | 252d |
|---|---|---|---|---|---|---|---|
| FY2024 | 2025-02-26 | 2025-02-26 | +0.72% | -1.89% | -1.38% | -5.09% | -3.60% |
| FY2023 | 2024-02-23 | 2024-02-23 | -0.18% | +0.00% | +1.00% | +2.00% | +8.28% |
| FY2016 | 2017-03-01 | 2017-03-01 | +0.42% | +0.34% | -1.90% | -4.49% | -10.11% |
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.