InsidersTradesSigma
Walk-forward studies on 162 k filings: what factors compound, what bleeds, with code and Sharpe figures.
The most seductive insider story: a tiny biotech, a CEO buying before the stock quintuples. We backtested that recipe. It is the worst cell in our dataset.
Across 2023-2024 EU and US insider buys in our sample, women filed 3.6% of declarations. Smaller tickets, more cluster context, smaller sample.
This article examines how survivorship bias affects insider trading studies and the importance of including delisted companies in performance analysis.