Event Study: Forward Returns Analyzer After Price ShockEvent Study – Forward Returns Analyzer identifies historical price shocks on any asset and measures forward performance across four calendar horizons: 1, 3, 6, and 12 months after the event.
Define a drop threshold and the indicator automatically detects every qualifying session, logs the date and magnitude of the shock, then tracks the exact price 1, 3, 6, and 12 calendar months later — using timestamp arithmetic rather than bar counts, so results are precise regardless of trading day variations, holidays, or timeframe used.
What you get:
A paginated event table with every shock dated and color-coded, plus a persistent statistics panel showing Average, Median, Win Rate, Skewness, Max Drawdown, and Sharpe Ratio across all four horizons — always calculated on the full filtered sample, regardless of which page you're viewing.
Sample controls:
- Start From Year: focus the analysis on a specific regime, ignoring older history
- Exclude Month / Year: surgically remove structural outliers from the sample (e.g. April 2020 for crude oil futures NYMEX:CL1! )
Designed for: macro researchers, cross-asset analysts, and systematic traders who want to quantify how an asset historically behaves in the weeks and months following a sharp sell-off.
Works on any daily chart. No repainting. No bar-count approximations.
อินดิเคเตอร์ Pine Script®
