Notes

A position of 0.120601748 shares in SNOW was sold at 352.93. This is a very small part of a whole share, known as a fractional share. Because there was no available data on the bid and ask prices at the time of the decision, the difference between the expected and actual prices will not be considered slippage, which refers to the difference between expected and actual trade prices. In the future, for trades that need protection during extended hours, it is recommended to use whole shares that are affordable or to not make the trade at all.

The stock SNOW returned -5.39% at operator liquidation, which is -0.53R. This means the exit happened sooner than planned, so it does not confirm the expected 4-6 week Post-Earnings Announcement Drift, or PEAD, which is a period when a stock's price may move after an earnings announcement. A new entry will require evidence from outside the current 20-day holdout period, which is currently -30.23%.

A small position of 0.172852155 shares of DELL was sold at 511.998. Since there were no bid and ask prices at the time of the decision, the difference between the expected and actual prices is not considered slippage, which refers to the difference between expected and actual trade prices. For future trades that need protection during extended hours, use whole shares that are affordable or do not make the trade.

The stock DELL returned 7.94% when the operator closed the position, which is 0.85 times the risk, or R. This exit happened sooner than planned, so it does not prove the expected result over 4-6 weeks, known as the post-earnings announcement drift, or PEAD, horizon. We need to see clear evidence over time, outside of the original sample, before entering a new trade; currently, the 20-day holdout period shows a loss of 30.23%.

A position of 1.944649733 shares of GTLB was sold at a price of 48.78. Since the bid and ask prices at the time of the decision were not available, the difference between the entry and exit prices will not be considered as slippage, which refers to the difference between expected and actual trade prices. In the future, for validated setups that require protection during extended hours, it is recommended to use whole shares that are affordable or to pass on the trade.

The fund GTLB had a return of -5.13% when the operator closed the position, which is -0.49 times the risk, or R, which is a measure of volatility. This early exit, which happened before the planned 4 to 6 week time frame, does not confirm the expected price effect, known as post-earnings announcement drift, or PEAD. Before entering a new position, we need to see evidence from out-of-sample, or OOS, data, which is data not used in training, over a period of time. The current 20-day holdout period, which is a period of time where we do not trade, has a return of -30.23%.

Do not turn STNG's $0.60 gain or the monthly profit shortfall into permission to add risk. With no observed losses in the two-trade supply sample and no validated entry/exit calibration, which refers to the process of setting optimal points to enter and exit trades, new size stays zero.

The stock STNG went up 0.75%, but the operator had to sell it, which is called liquidation, at a risk level of 0.13R. This was only 5.9% of the target distance that was planned. Before considering buying this stock again, a new rule for selling, called an exit rule, needs to be tested independently to see if it works.

Do not turn FRO's $4.38 gain or the monthly profit shortfall into permission to add risk. With no observed losses in the two-trade supply sample and no validated entry/exit calibration, which refers to the process of setting optimal points to enter and exit trades, new size stays zero.

A trade in FRO was closed during the main trading hours, but there is no record of the price at that exact moment, which is called a reference quote, so it is not possible to calculate slippage, which is the difference between expected and actual trade prices. It is better to trade in whole shares when selling overnight and to save a record of the price at that time with the next trade order.

The stock FRO gained 3.81%, but the trade was closed by the operator through a process called liquidation, which means selling the stock to limit losses, at a level known as 0.68R, which is a measure of risk. This was only 26.0% of the target distance, which is the expected profit. The manager will require an independently tested exit rule, a set of rules to determine when to close a trade, before considering this successful trade as a reason to re-enter the market with the same stock.

The manager treats published anomalies and executable rules as different objects. For example, the large-cap Post-Earnings Announcement Drift, or PEAD, which is a phenomenon where stock prices tend to move in the direction of an earnings surprise, largely vanished, and the rule to buy stocks that had a positive surprise and an 8% gap at the next open lost 30.2% in a three-event holdout period. This means the rule did not work well when tested on new, unseen data. The manager requires a broad pre-registered out-of-sample, or OOS, next-open test with costs before taking any new PEAD position, which means they want to test the rule on a large set of new data, including the costs of trading, before using it to make investment decisions. Until this test is done, the size of the investment will be zero, meaning no money will be invested based on this rule.

A $24 stop did not limit the risk for RARE, which is a type of order to sell a stock when it falls to a certain price, in this case $24. The stock was actually sold for $13.99, which is 41.7% below the stop price, after a sudden price jump overnight, known as a binary gap. This means that the size of the investment in biotech stocks should be determined by the potential loss from a sudden price jump, not by how far the stop price is from the current price. Additionally, no investment should be made when there is a possibility of another sudden price jump, known as a binary window, overlapping with the current one.

Before investing in any biotech company, it is essential to identify and plan for every significant event, such as clinical trials and regulatory decisions, that may affect the company's stock through to the planned time of selling the stock. For example, the stock price of RARE fell 45.9% because the expected results of the GTX-102 clinical trial in September or October happened at the same time as the period leading up to the UX111 PDUFA decision, which is a regulatory review, and this overlap had a negative impact on the stock price.