SEC Filings
Form 4 insider transactions, 8-K filing counts, and 13F position changes. EDGAR acceptance timestamps give clean observed_at dates with no look-ahead risk.
Signal construction
Form 4: For each company-day, we aggregate insider buy/sell transaction amounts and compute net buy ratio = (buy_$) / (buy_$ + sell_$), shrunk toward 0.5 with n/(n+κ) for small sample sizes (κ=10). 8-K: abnormal count vs trailing base rate. All signals are cross-sectionally ranked within date and sector.
Limitations & caveats
Insiders transact for non-informational reasons (10b5-1 plans, diversification, taxes). Form 4 has a 2-day filing window so observed_at can lag the transaction date. Institutional (13F) filings are quarterly.
Evaluation results
Rank IC (Spearman) with Newey-West standard errors, walk-forward with 21-day embargo. Multiple-testing correction: Benjamini-Hochberg at q=0.05 across all signal × horizon × cohort tests.