StandardfilingsSP-2794

Late Annual Filings (NT 10-K, S&P 500)

Count of NT 10-K filings per day (notification of late annual report) across S&P 500. A late 10-K is a classic pre-blowup distress tell; mostly zero, spikes matter.

the verdict —

At the 252d horizon, this signal hits in the predicted direction 15% of fires. Mean SPY forward return when it lights: -13.77%. Status: OOS validated. n = 2362. Bearish on the underlying when fired.

— Current state —

Latest value · 2026-05-29

0.00

Binary calendar indicator — value is 1 on event days, 0 every other day. A time-series sparkline isn't meaningful here (it's mostly zeros). The hit-rate / magnitude stats below are computed against the event days themselves; see the COMING UP strip on the home page for upcoming instances.

— The series — full history —

Daily readings, every reading we have. Pick a window with the time-period buttons; flip to candles via the global toggle in the masthead (or press C). Toggle the SPY overlay to see how this series and the S&P 500 have moved together.

Late Annual Filings (NT 10-K, S&P 500)

0.0000

Hover for date + value · Toggle SPY to compare relative move

2025-06-12 → 2026-05-29  ·  252 bars

— What it has historically predicted —

On days when this signal fires (deviates 2+ standard deviations from its 30-day average, in either direction), SPY has historically averaged -13.8% over the next year, moving in the opposite direction 85% of the time.

↓56%

−0.06%

1 d

↓62%

−0.31%

1 wk

↓69%

−1.2%

1 mo

↓81%

−4.2%

3 mo

↓79%

−6.7%

6 mo

↓85%

−13.8%

1 yr

— Beyond SPY — how this signal performs across markets —

Same fire days, different forward returns. Each row asks: when this signal fires, what does that asset do? The big number is the average return; underneath is how often the asset moved the same direction as the signal (50% would be a coin flip).

target

1 d

1 wk

1 mo

3 mo

6 mo

1 yr

SPY

S&P 500 ETF

n=2,362

-0.06%

44% same direction

-0.31%

38% same direction

-1.2%

31% same direction

-4.2%

19% same direction

-6.7%

21% same direction

-13.8%

15% same direction

Gold

futures

n=409

-0.08%

46% same direction

-0.29%

43% same direction

-1.2%

42% same direction

-3.7%

33% same direction

-8.9%

19% same direction

-19.6%

17% same direction

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shaded cell = each row's strongest horizon (green = bullish forward return, red = bearish)“same direction” means the asset moved the same way the signal moved — opposite of a coin flip.

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