PEAD exit-horizon

The question

Is the post-earnings-announcement-drift edge durable and broad-based across the population, or driven by a handful of outlier names? The core go-live question for the equities sleeve.

How it was tested

The hypothesis, its exact trigger, the outcome it predicts, and the pass/fail bar were written down and cryptographically hash-locked before any data was tested, then held through a mandatory cooling-off period. The backfill ran exactly once against those frozen parameters — no re-tuning, no curve-fitting — using adversarial statistics (stationary-bootstrap confidence intervals, multiple-testing correction, purged cross-validation with an embargo, and walk-forward out-of-sample splits). The specific trigger thresholds are proprietary and omitted here.

The outcome

RAN 2026-06-17 → INFO_GRADE (the honest prior; first PEAD EXIT-rule study). 949 trades / 80 tickers / 2021-05..2026-05. All 3 variants (H10/H14/ICdecay) RAISE terminal wealth + win-rate (54-55% vs 38%) by capturing more of the 10-14d drift, BUT every one TRUNCATES the right-tail skew (3.38 → 1.07/0.36/2.30) — failing the LOAD-BEARING skew-preservation criterion (c2) → none SHIP. H10 cleared 5/6 (only skew), H14/ICdecay fewer. CENTRAL CAVEAT: the emergent BASELINE proxy exits faster (median 3d) than the documented live emergent exit (~5d/p90 10d), so the terminal-wealth gap is inflated by (a) the proxy under-capturing drift, (b) survivorship (longer holds compound more), (c) aggressive sequential compounding — NOT trustworthy in absolute terms. Robust finding = the SKEW direction (any hard cap clips the AMD-class winner) argues AGAINST a fixed horizon. corr(holdDays,return)=-0.30 NOT cleanly resolved as selection. No production change — emergent exit STANDS; a properly-controlled follow-up with real per-cycle signal state = a NEW pre-reg. data/backfill/pead_exit_horizon_2026-06-17.json. Rule #10: no iterate.

The backfill ran and concluded — the hypothesis did not fail, but the result is informational rather than a clean strategy-grade pass. See the outcome below.