AH Earnings Scalp — announcement-candle continuation
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UNPROVEN — tape-modeled, fill-blind. Rule: on each earnings report day, at the announcement candle (~16:05),
the first bar with body ≥50 bps closing top-20% → take that direction, buy next candle open / sell its close (~60s, $30k).
It follows the price candle, not the news. Breakeven is ~51 bps/side and after-hours earnings spreads run
50–200 bps — so this only works if real AH fills come in under ~51 bps, which is unmeasured. Do not fund on the −2 bps column.
Fill ladder · pooled across the bundle · the whole verdict is which column is real
| fill / side | net $/trade | win% | total $ | note |
Per ticker · gross (0 bps) · ranked by breakeven headroom
| ticker | events | gross $/tr | win% | breakeven | L / S |
Event log · every earnings the strategy fired on
| ticker | report day | gap next | dir | gross $ |
Real AH fills (measured) · live 1-share · the actual after-hours fill the tape can't model — this is the verdict
| ticker | date | dir | shares | real $ | in → out |