Decision summary
Question: What Happens After Huge Earnings Gaps? This is a proxy because the local service does not provide exact earnings announcement timestamps/opening gaps.
Monthly jump >20% produced a 35.8% median 24-month return versus 25.2% for all eligible observations. The loss greater than 20% rate was 16.4% versus 13.7% baseline.
- Future return potential: Monthly jump >20% median 35.8% versus All eligible observations 25.2%; excess 10.6%.
- Correction/drawdown risk: loss greater than 20% 16.4% versus baseline 13.7%; excess 2.6%. Median max drawdown -15.4%.
- Entry timing risk: entry condition Favorable based on loss risk and forward drawdown.
- Use: buying/holding/trimming decisions require entry condition, thesis condition, and current position. No simple Buy/Sell label is inferred from price history alone.
Baseline comparison
| Group | Median return | 25th pct | 75th pct | 10th pct downside | Finished positive | Loss >20% | Loss >30% | Loss >50% | Median max drawdown | Sample size |
|---|---|---|---|---|---|---|---|---|---|---|
| Monthly jump >20% | 35.8% | -4.0% | 87.2% | -33.7% | 73.3% | 16.4% | 11.2% | 4.9% | -15.4% | 898 |
| All eligible observations | 25.2% | -2.0% | 55.1% | -27.5% | 73.5% | 13.7% | 9.0% | 3.4% | -10.4% | 4,650 |
| EW broad index | 28.3% | 13.9% | 51.5% | -0.9% | 85.9% | 3.6% | 3.1% | 0.0% | -9.6% | 4,641 |
| Signal excess vs baseline | 10.6% | 2.6% | 2.2% | 1.5% | -5.0% |
Distribution by bucket
| Group | Median return | 25th pct | 75th pct | 10th pct downside | Finished positive | Loss >20% | Loss >30% | Loss >50% | Median max drawdown | Sample size |
|---|---|---|---|---|---|---|---|---|---|---|
| Monthly jump >20% | 36.1% | -5.4% | 93.8% | -34.9% | 72.1% | 17.3% | 12.0% | 5.3% | -15.4% | 1,542 |
| Monthly jump 10-20% | 27.8% | -3.0% | 63.3% | -28.0% | 72.5% | 14.1% | 9.2% | 3.1% | -12.4% | 5,429 |
| Flat/up <10% | 24.4% | -0.4% | 52.1% | -24.4% | 74.7% | 12.0% | 7.8% | 2.8% | -8.6% | 23,820 |
| Down month | 25.8% | -2.4% | 57.8% | -28.1% | 73.1% | 13.6% | 9.1% | 3.3% | -10.4% | 22,794 |
Current ticker mapping
| Ticker | Current signal | Historical median return | Loss >20% | Entry condition | Suggested action |
|---|---|---|---|---|---|
| AAL | 1m close-to-close jump 22.1% | 35.8% | 16.4% | Elevated risk | Do not chase full size; wait or starter only |
| AMAT | 1m close-to-close jump 39.3% | 35.8% | 16.4% | Elevated risk | Do not chase full size; wait or starter only |
| KLAC | 1m close-to-close jump 29.4% | 35.8% | 16.4% | Elevated risk | Do not chase full size; wait or starter only |
| KSS | 1m close-to-close jump 35.2% | 35.8% | 16.4% | Elevated risk | Do not chase full size; wait or starter only |
| LUV | 1m close-to-close jump 21.4% | 35.8% | 16.4% | Elevated risk | Do not chase full size; wait or starter only |
| M | 1m close-to-close jump 20.2% | 35.8% | 16.4% | Elevated risk | Do not chase full size; wait or starter only |
| MRNA | 1m close-to-close jump 42.6% | 35.8% | 16.4% | Elevated risk | Do not chase full size; wait or starter only |
| MRVL | 1m close-to-close jump 30.1% | 35.8% | 16.4% | Elevated risk | Do not chase full size; wait or starter only |
| NWL | 1m close-to-close jump 71.2% | 35.8% | 16.4% | Elevated risk | Do not chase full size; wait or starter only |
Suggested actions
| Situation | Suggested action |
|---|---|
| No position | Do not open full size from the signal alone; wait for stabilization or use a starter only if thesis is Intact. |
| Partial position | Hold only if thesis is Intact; reserve cash because downside history is elevated. |
| Full position | Do not add from price history alone. |
| Overweight position | Consider rebalancing when entry condition is Elevated risk. |
| Thesis deteriorating | Reduce or avoid regardless of historical base rate. |
What this signal does not mean
This signal does not create a simple Buy/Sell label. It is a historical base-rate input for entry sizing, holding discipline, and thesis monitoring.
Dataset disclosure
Universe: local database stocks with adjusted monthly prices from 2001-01-31 to 2026-06-26. Historical S&P 500 snapshot membership exists, but the studies use the available local stock universe rather than fully reconstructed historical constituents. Filters: adjusted price at least $5, trailing 3-month average daily dollar volume at least $1 million, market cap at least $300 million when available. Survivorship-bias risk remains.
Methodology
Observations use monthly adjusted prices when available, 24-month forward returns, forward maximum drawdown from the observation price, and a 12-month cooldown to reduce overlapping signals. Baseline uses all eligible observations that pass the same price/data availability filters. EW broad-market index is used because SPY price history is not available in the local service.
Historical patterns do not guarantee future results.