Backtest
What happened after every signal we have scored, grouped by side and tier. Excess return is the stock's return minus the S&P 500's over the same days, from the first close after the filing. Hit rate is the share that beat the index.
As of -, benchmark SPY. A row needs prices through the horizon, so the newest signals are only in the shorter ones.
| Side | Tier | 1 month | 3 months | 6 months | ||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Median excess | Hit rate | n | Median excess | Hit rate | n | Median excess | Hit rate | n | ||
| buy | Strong | - | - | - | - | - | - | - | - | - |
| buy | Notable | - | - | - | - | - | - | - | - | - |
| buy | Moderate | - | - | - | - | - | - | - | - | - |
| buy | Weak | - | - | - | - | - | - | - | - | - |
| sell | Strong | - | - | - | - | - | - | - | - | - |
| sell | Notable | - | - | - | - | - | - | - | - | - |
| sell | Moderate | - | - | - | - | - | - | - | - | - |
| sell | Weak | - | - | - | - | - | - | - | - | - |
Method
A signal is one insider’s open-market buys or sells (transaction codes P and S) in one Form 4. Its entry price is the first close after the filing reached EDGAR, not the trade price, because that is the first price anyone reading the filing could have paid. The return at each horizon is the close that many calendar months later, or the last close we have if the horizon has not passed, in which case the signal is left out.
Excess return subtracts the S&P 500 (SPY) over the same days. The median is shown rather than the mean because a few multi-baggers would otherwise carry the table. Hit rate is the share of signals whose excess return was positive (for buys) or negative (for sells).
Every cell shows its n. Below about 30 the number is more noise than signal, and we say so in the methodology. The tiers follow the score at the time of filing; rescoring an old signal with today’s weights would be cheating, so we never do that.
This is a description of the past, not a forecast. Survivorship is partly handled (delisted stocks keep their last prices) and partly not (prices for stocks that left the exchange years ago may be missing). The weights of the score were set by hand and will be fit to this table once there is enough history; see the methodology.
Not investment advice. Scores and forward returns are decision support built from public SEC filings and past prices; they describe what happened after comparable filings, not what will happen after this one. Do your own research and size your risk.