EPS Estimate Profile [SS]

This is the EPS Estimate Profile indicator.

What it does

This indicator

• Collects all EPS estimates over the course of a lookback and BINS them (sorts them into 10 equal sized categories).
  
• Analyzes the returns from earnings releases based on the EPS estimate and the reaction.
  
• Calculates the number of bullish vs bearish responses that transpired based on the EPS estimate profile.
  
• Calculates the expected Open to High and Open to Low ATR based on the EPS estimate using regression.
  
• Toggle to actual EPS release to compare once earnings results are released.
  

How to Use it

This indicator can be used to gain insight into whether an earnings release will be received bullishly or bearishly based on the company's EPS estimate.
The indicator allows you to see all historic estimates and how the market generally responded to those estimates, as well as a breakdown of how many times estimates in those ranges produced a bullish response or a bearish response to earnings.

Examples

Let's look at some examples:


Here is MSFT. MSFT's last EPS estimate was 3.672.
If we consult the table, we can see the average return associated with this estimate range is -4%.

Now let's flip to the Daily timeframe and take a look:



MSFT ended the day red and continued to sell into the coming days.

Let's look at another example:



MCDs. Last earnings estimate was 3.327, putting it at the top of the range with an average positive return of 4%.

Let's look on the daily:



We can see that the earnings had a huge, bullish effect on MCD, despite them coming in below their estimates.

If we toggle the indicator to "Actual" EPS release, to see the profile of Actual earnings releases vs response, we get this:



Since MCD under-performed, they were still at the top of the profile; but, we can see that the expected returns are more muted now, though still positive. And indeed, the reaction was still positive.

Distinguishing % Bullish/Bearish to Avg Returns

You will see the profile table displays both the average returns and the percent of bullish/bearish responses. In some cases, you will see that, despite a negative return, the profile reveals more bullish reactions than bearish.

What does this mean?

It means, despite there being more bullish responses, when bearish responses happen they tend to be more severe and profound, vs bullish responses likely are muted.
This can alert you to potential downside risk and help you manage risk accordingly should you elect to trade the earnings release.

ATR Prediction
You will notice in the bottom right corner of the screen a secondary table that lists the predicted open to high ATR and open to low ATR.
This is done using RAW EPS estimates (or raw ACTUAL estimates depending on which you select) and performing a regression to determine the expected ATR.
This is only for reference, the analysis should focus around the historic profile of return estimates and actual return values.

IMPORTANT NOTE: You MUST be on the Monthly timeframe to use this. Otherwise, you will get an error. If, on certain tickers with a huge history, such as MSFT and XOM or OXY, you get an error, you can simply reduce the lookback length to 80 and this will resolve the issue.


Conclusion

And that's the indicator!
A blend of some light math and fundamentals! A real joy honestly.

Hope you enjoy it!