SIGNALS_BY_TICKER

insider_txn_share.signals_by_ticker

This model generates signals at the ticker level.

It calculates the average returns over various time periods (3, 6, 12, and 24 months) following insider buy and sell transactions for each company. The model then flags companies as having significant insider buying, selling, or trading based on the consistency and magnitude of these returns.

Key features:

• Determines if a company has significant insider buying or selling activity based on the number of positive or negative return periods

• Identifies "super buyer" and "super seller" companies using stricter return thresholds and filing count

• Calculates the percentage rank of each company's returns within the dataset

• Assigns an overall percentage rank to each company based on the sum of its buy and sell return ranks

• Provides aggregated filing counts and date ranges for each company

Column Name	Data Type	Column Description
AVG_RETURN_12MO_AFTER_BUYS_NORMALIZED	Float	Average normalized return 12 months after buys
AVG_RETURN_12MO_AFTER_SELLS_NORMALIZED	Float	Average normalized return 12 months after sells
AVG_RETURN_24MO_AFTER_BUYS_NORMALIZED	Float	Average normalized return 24 months after buys
AVG_RETURN_24MO_AFTER_SELLS_NORMALIZED	Float	Average normalized return 24 months after sells
AVG_RETURN_3MO_AFTER_BUYS_NORMALIZED	Float	Average normalized return 3 months after buys
AVG_RETURN_3MO_AFTER_SELLS_NORMALIZED	Float	Average normalized return 3 months after sells
AVG_RETURN_6MO_AFTER_BUYS_NORMALIZED	Float	Average normalized return 6 months after buys
AVG_RETURN_6MO_AFTER_SELLS_NORMALIZED	Float	Average normalized return 6 months after sells
DIRECTIONAL_CORRECT_COUNT	Number	Count of directionally correct predictions
IND_SIGNIFICANT_BUYER	Number	Indicator for significant buyer
IND_SIGNIFICANT_SELLER	Number	Indicator for significant seller
IND_SIGNIFICANT_SUPER_BUYER	Number	Indicator for significant super buyer
IND_SIGNIFICANT_SUPER_SELLER	Number	Indicator for significant super seller
IND_SIGNIFICANT_SUPER_TRADER	Number	Indicator for significant super trader
IND_SIGNIFICANT_TRADER	Number	Indicator for significant trader
ISSUER_TICKER	Varchar	Ticker of the issuer
MAX_PERIOD_OF_REPORT	Date	Maximum period of the report
MIN_PERIOD_OF_REPORT	Date	Minimum period of the report
NUM_BUY_FILINGS	Number	Number of buy filings
NUM_FILINGS	Number	Total number of filings
NUM_SELL_FILINGS	Number	Number of sell filings
PCT_RANK_BUYS_NORMALIZED_12MO	Float	Percentage rank of normalized buys 12 months
PCT_RANK_BUYS_NORMALIZED_24MO	Float	Percentage rank of normalized buys 24 months
PCT_RANK_BUYS_NORMALIZED_3MO	Float	Percentage rank of normalized buys 3 months
PCT_RANK_BUYS_NORMALIZED_6MO	Float	Percentage rank of normalized buys 6 months
PCT_RANK_OF_PCT_RANK_SUM	Float	Percentage rank of the sum of percentage ranks
PCT_RANK_SELLS_NORMALIZED_12MO	Float	Percentage rank of normalized sells 12 months
PCT_RANK_SELLS_NORMALIZED_24MO	Float	Percentage rank of normalized sells 24 months
PCT_RANK_SELLS_NORMALIZED_3MO	Float	Percentage rank of normalized sells 3 months
PCT_RANK_SELLS_NORMALIZED_6MO	Float	Percentage rank of normalized sells 6 months
PCT_RANK_SUM	Float	Sum of percentage ranks