BACKTEST_TRADES_BY_OVERALL

insider_txn_share.BACKTEST_TRADES_BY_OVERALL

This model backtests the average returns (both absolute and normalized) and hit rates over various horizons to look at the differences in forward returns, across all historical trades and by trade type ("trade_description"). This analysis shows that in aggregate, over the historical period, normalized forward returns tend to be positive for buy transactions and negative for sell transactions, suggesting a signal in the data.

Column Name	Data Type	Column Description
AVG_RETURN_12MO_AFTER_BUYS	Float	Average return 12 months after buys
AVG_RETURN_12MO_AFTER_BUYS_NORMALIZED	Float	Normalized average return 12 months after buys
AVG_RETURN_12MO_AFTER_SELLS	Float	Average return 12 months after sells
AVG_RETURN_12MO_AFTER_SELLS_NORMALIZED	Float	Normalized average return 12 months after sells
AVG_RETURN_24MO_AFTER_BUYS	Float	Average return 24 months after buys
AVG_RETURN_24MO_AFTER_BUYS_NORMALIZED	Float	Normalized average return 24 months after buys
AVG_RETURN_24MO_AFTER_SELLS	Float	Average return 24 months after sells
AVG_RETURN_24MO_AFTER_SELLS_NORMALIZED	Float	Normalized average return 24 months after sells
AVG_RETURN_3MO_AFTER_BUYS	Float	Average return 3 months after buys
AVG_RETURN_3MO_AFTER_BUYS_NORMALIZED	Float	Normalized average return 3 months after buys
AVG_RETURN_3MO_AFTER_SELLS	Float	Average return 3 months after sells
AVG_RETURN_3MO_AFTER_SELLS_NORMALIZED	Float	Normalized average return 3 months after sells
AVG_RETURN_6MO_AFTER_BUYS	Float	Average return 6 months after buys
AVG_RETURN_6MO_AFTER_BUYS_NORMALIZED	Float	Normalized average return 6 months after buys
AVG_RETURN_6MO_AFTER_SELLS	Float	Average return 6 months after sells
AVG_RETURN_6MO_AFTER_SELLS_NORMALIZED	Float	Normalized average return 6 months after sells
AVG_RETURN_DELTA_12MO	Float	Average return delta 12 months
AVG_RETURN_DELTA_24MO	Float	Average return delta 24 months
AVG_RETURN_DELTA_3MO	Float	Average return delta 3 months
AVG_RETURN_DELTA_6MO	Float	Average return delta 6 months
BUY_OR_SELL	Varchar	Indicates buy or sell
HIT_RATE_12MO_AFTER_BUYS	Number	Hit rate 12 months after buys
HIT_RATE_12MO_AFTER_SELLS	Number	Hit rate 12 months after sells
HIT_RATE_24MO_AFTER_BUYS	Number	Hit rate 24 months after buys
HIT_RATE_24MO_AFTER_SELLS	Number	Hit rate 24 months after sells
HIT_RATE_3MO_AFTER_BUYS	Number	Hit rate 3 months after buys
HIT_RATE_3MO_AFTER_SELLS	Number	Hit rate 3 months after sells
HIT_RATE_6MO_AFTER_BUYS	Number	Hit rate 6 months after buys
HIT_RATE_6MO_AFTER_SELLS	Number	Hit rate 6 months after sells
LIST_OF_TICKERS	Varchar	List of tickers
MAX_PERIOD_OF_REPORT	Date	Maximum period of report
MIN_PERIOD_OF_REPORT	Date	Minimum period of report
NUMBER_OF_BUYS_TRADES	Number	Number of buy trades
NUMBER_OF_SELL_TRADES	Number	Number of sell trades
NUMBER_OF_TRADES	Number	Total number of trades
NUM_BUY_FILINGS	Number	Number of buy filings
NUM_FILINGS	Number	Total number of filings
NUM_SELL_FILINGS	Number	Number of sell filings
SUM_VALUE_TRADED	Float	Sum value traded
TRADE_DESCRIPTION	Varchar	Description of the trade