29 lines
1.6 KiB
Markdown
29 lines
1.6 KiB
Markdown
# Insider Buying Scanner
|
||
|
||
## Current Understanding
|
||
Scrapes SEC Form 4 filings. CEO/CFO purchases >$100K are the most reliable signal.
|
||
Cluster detection (2+ insiders buying within 14 days) historically a high-conviction
|
||
setup. Transaction details (name, title, value) must be preserved from scraper output
|
||
and included in candidate context — dropping them loses signal clarity.
|
||
|
||
Default `min_transaction_value` was $25K but P&L data (178 recs, -2.05% 30d avg)
|
||
indicates the low threshold allows sub-signal transactions through. Raised to $100K
|
||
to align with the registered insider_buying-min-txn-100k hypothesis.
|
||
|
||
## Evidence Log
|
||
|
||
### 2026-04-11 — P&L review
|
||
- 178 recommendations over Feb–Apr 2026. Avg 30d return: -2.05%. 30d win rate: 29.4%.
|
||
- 1d win rate only 38.1%, suggesting price does not immediately react to filing disclosures.
|
||
- 7d win rate 46.3% — marginally better, but still below coin-flip at 30d.
|
||
- Sample files show most published recs had large transactions ($1M–$37M), but the
|
||
scanner's $25K floor likely admits many smaller, noisier transactions in the raw feed.
|
||
- Broader market context (tariff shock, sell-off Feb–Apr 2026) likely suppressed all
|
||
long signals, making it hard to isolate scanner quality from market conditions.
|
||
- Confidence: medium (market headwinds confound; need post-recovery data to isolate)
|
||
|
||
## Pending Hypotheses
|
||
- [ ] Does cluster detection (2+ insiders in 14 days) outperform single-insider signals?
|
||
- [x] Is there a minimum transaction size below which signal quality degrades sharply?
|
||
→ Raising threshold from $25K to $100K to test. Prior $25K baseline had -2.05% 30d avg.
|